Forecasting Age- and Sex-Specific Survival Functions: Application to Annuity Pricing

Forecasting Age- and Sex-Specific Survival Functions: Application to Annuity Pricing

We introduce the function principal component regression (FPCR) forecasting method to model and forecast age-specific survival functions observed over time. The age distribution of survival functions is an example of constrained data whose values lie within a unit interval. Because of the constraint...

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Bibliographic Details
Main Authors: Shaokang Wang, Han Lin Shang, Leonie Tickle, Han Li
Format: Article
Language:English
Published: MDPI AG 2024-07-01
Series:Risks
Subjects:
age-specific mortality modeling
functional data modeling and forecasting
survival function forecast
fixed-term annuity
Online Access:https://www.mdpi.com/2227-9091/12/7/117

Internet

https://www.mdpi.com/2227-9091/12/7/117

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