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Grouped multivariate and functional time series forecasting: An application to annuity pricing

Shang, Hanlin; Haberman, Steven

Description

Age-specific mortality rates are often disaggregated by different attributes, such as sex, state, ethnic group and socioeconomic status. In making social policies and pricing annuities at national and sub-national levels, not only is it important to forecast mortality accurately, but also, forecasts at sub-national levels should add up to the forecasts at the national level. This motivates recent developments of grouped functional time series methods (Shang, Han and Rob Hyndman., 2017) to...[Show more]

CollectionsANU Research Publications
Date published: 2017
Type: Conference paper
URI: http://hdl.handle.net/1885/238482
Source: 2017 Living to 100 Monograph

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