Mortality Forecasting with an Age-Coherent Sparse VAR Model

Mortality Forecasting with an Age-Coherent Sparse VAR Model

This paper proposes an age-coherent sparse Vector Autoregression mortality model, which combines the appealing features of existing VAR-based mortality models, to forecast future mortality rates. In particular, the proposed model utilizes a data-driven method to determine the autoregressive coeffici...

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Bibliographic Details
Main Authors: Hong Li, Yanlin Shi
Format: Article
Language:English
Published: MDPI AG 2021-02-01
Series:Risks
Subjects:
mortality forecasting
age coherent
vector autoregressive
elastic net regularization
Online Access:https://www.mdpi.com/2227-9091/9/2/35

Internet

https://www.mdpi.com/2227-9091/9/2/35

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