Grouped multivariate and functional time series forecasting: An application to annuity pricing
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]
|Collections||ANU Research Publications|
|Source:||2017 Living to 100 Monograph|
|01_Shang_Grouped_multivariate_and_2017.pdf||426.11 kB||Adobe PDF||Request a copy|
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