文章基本信息

标题：Mortality Forecasting with an Age-Coherent Sparse VAR Model
本地全文：下载
作者：Hong Li ; Hong Li ; Hong Li 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2021
卷号：9
期号：1
页码：35
DOI：10.3390/risks9020035
语种：English
出版社：MDPI, Open Access Journal
摘要：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 coefficient matrix, and then employs a rotation algorithm in the projection phase to generate age-coherent mortality forecasts. In the estimation phase, the age-specific mortality improvement rates are fitted to a VAR model with dimension reduction algorithms such as the elastic net. In the projection phase, the projected mortality improvement rates are assumed to follow a short-term fluctuation component and a long-term force of decay, and will eventually converge to an age-invariant mean in expectation. The age-invariance of the long-term mean guarantees age-coherent mortality projections. The proposed model is generalized to multi-population context in a computationally efficient manner. Using single-age, uni-sex mortality data of the UK and France, we show that the proposed model is able to generate more reasonable long-term projections, as well as more accurate short-term out-of-sample forecasts than popular existing mortality models under various settings. Therefore, the proposed model is expected to be an appealing alternative to existing mortality models in insurance and demographic analyses.