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Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions … of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under … the generalised linear modelling framework. In this paper we approach the problem of mortality modelling with cohort …
Persistent link: https://www.econbiz.de/10012902374
Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions … of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under … the generalised linear modelling framework. In this paper we approach the problem of mortality modelling with cohort …
Persistent link: https://www.econbiz.de/10012899554
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U … jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a similar … forecasts for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770767
We present a new way to model age-specific demographic variables, using the example of age-specific mortality in the … their dynamics jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a … for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770768
Multi-population mortality forecasting has become an increasingly important area in actuarial science and demography …, as a means to avoid long-run divergence in mortality projection. This paper aims to establish a unified state …-space Bayesian framework to model, estimate and forecast mortality rates in a multi-population context. In this regard, we …
Persistent link: https://www.econbiz.de/10012832560
China has experienced large improvements in mortality rates, but there remain substantial variations at the provincial … level. This paper develops new models to project mortality at both the national and provincial levels in China. We propose … comprehensive database containing mortality data for 31 provinces over the period 1982–2010. The baseline two-level model with a …
Persistent link: https://www.econbiz.de/10014103019
This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH models. These models are widespread and essential tools in financial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique....
Persistent link: https://www.econbiz.de/10013156202
In nonlinear state-space models, sequential learning about the hidden state can proceed by particle filtering when the density of the observation conditional on the state is available analytically (e.g. Gordon et al. 1993). This condition need not hold in complex environments, such as the...
Persistent link: https://www.econbiz.de/10013093423
Machine learning methods are becoming increasingly popular in economics, due to the increased availability of large datasets. In this paper I evaluate a recently proposed algorithm called Generalized Approximate Message Passing (GAMP), which has been popular in signal processing and compressive...
Persistent link: https://www.econbiz.de/10012955264
The rough path-dependent volatility (RPDV) model (Parent 2022) effectively captures key empirical features that are characteristic of volatility dynamics, making it a suitable choice for volatility forecasting. However, its complex structure presents challenges when it comes to estimating the...
Persistent link: https://www.econbiz.de/10014354222