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mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a … general state-space modelling methodology, which allows modelling, estimation and forecasting of mortality under a unified … inference. We then develop a novel class of Bayesian state-space models which incorporate apriori beliefs about the mortality …
Persistent link: https://www.econbiz.de/10012990764
I adapt Schmertmann's Calibrated Spline method to the problem of estimating a complete mortality schedule from abridged … data. I demonstrate its ability to fit the range of mortality profiles seen across the epidemiological transition. I find …
Persistent link: https://www.econbiz.de/10012902694
Persistent link: https://www.econbiz.de/10011860431
Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Standard single … decomposition of the mortality surface into a polynomial basis. Then, we show how regularization techniques and cross-validation can … be used to obtain a parsimonious and coherent predictive model for mortality forecasting. We analyze how COVID-19-type …
Persistent link: https://www.econbiz.de/10012422898
Persistent link: https://www.econbiz.de/10012437034
mortality rates with a generalization of the Lee-Carter model including cohorts. Bayesian parameter shrinkage has some practical …
Persistent link: https://www.econbiz.de/10014116617
Mortality is different across countries, states and regions. Several empirical research works however reveal that … mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing mortality … the empirical findings, we make the study of estimating and forecasting mortality rates based on a semi …
Persistent link: https://www.econbiz.de/10011489251
Persistent link: https://www.econbiz.de/10009130863
Adaptive learning introduces persistence in the evolution of agents' beliefs over time. For applied purposes this is a convenient feature to help explain why economies present sluggish adjustments towards equilibrium. The pace of learning is directly determined by the gain parameter, which...
Persistent link: https://www.econbiz.de/10011316387
We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...
Persistent link: https://www.econbiz.de/10011905649