Fu, Wanying; Smith, Barry R.; Brewer, Patrick; Droms, Sean - In: Risks : open access journal 11 (2023) 9, pp. 1-23
We apply a Markov-switching Bayesian vector autoregression (MSBVAR) model to mortality forecasting. MSBVAR has not previously been applied in this context, and our results show that it is a promising tool for mortality forecasting. Our model shows better forecasting accuracy than the Lee-Carter...
