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Multi-population mortality forecasting using tensor decomposition

Dong, Yumo; Huang, Fei; Yu, Honglin; Haberman, Steven

Description

In this paper, weformulate the multi-population mortalityforecasting problem based on 3-way (age, year, and country/gender) decompositions. By applying the canonical polyadic decomposition (CPD) and the different forms of the Tucker decomposition to multi-population mortality data (10 European countries and 2 genders), we find that the out-of-sample forecasting performance is significantly improved both for individual populations and the aggregate population compared with using the...[Show more]

CollectionsANU Research Publications
Date published: 2020
Type: Journal article
URI: http://hdl.handle.net/1885/219295
Source: Scandinavian Actuarial Journal
DOI: 10.1080/03461238.2020.1740314

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