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Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach

Chang, Le; Shi, Yanlin

Description

Existing literature argues that the mortality rate of a specific age is affected not only by its own lags but by the lags of neighbouring ages, known as cohort effects. Although these effects are assumed constant in most studies, they can be dynamic over a long timespan. Consequently, popular mortality models with time-invariant age-dependent coefficients, including the Lee-Carter (LC) and vector autoregression (VAR) models, are incapable of modelling these dynamic cohort effects. To capture...[Show more]

CollectionsANU Research Publications
Date published: 2020
Type: Journal article
URI: http://hdl.handle.net/1885/219326
Source: Scandinavian Actuarial Journal
DOI: 10.1080/03461238.2020.1773523

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