Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principal Components

In this study we develop a multi-factor extension of the family of Lee-Carter stochastic mortality models. We build upon the time, period and cohort stochastic model structure to extend it to include exogenous observable demographic features that can be used as additional factors to improve model fi...

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Bibliographic Details
Main Authors: Dorota Toczydlowska, Gareth W. Peters, Man Chung Fung, Pavel V. Shevchenko
Format: Article
Language:English
Published: MDPI AG 2017-07-01
Series:Risks
Subjects:
mortality modelling
cohort models
factor models
state-space models
Bayesian inference
Markov chain Monte Carlo
features extraction
robust dimensionality reduction
Online Access:https://www.mdpi.com/2227-9091/5/3/42

Internet

https://www.mdpi.com/2227-9091/5/3/42

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