Accurate future mortality forecasts are of fundamental importance as they ensure adequate pricing of mortality-linked insurance and financial products. Extrapolative methods are the most commonly adopted forecasting approach in the literature on projecting future mortality rates (see for example...

In this paper, we propose a new framework to coherently produce probabilistic mortality forecasts by exploiting techniques in seasonal time-series models, extreme value theory (EVT), and hierarchical forecast reconciliation. We are amongst the first to model and analyze U.S. monthly death counts...

Over the last few decades, there has been an enormous growth in mortality modeling as the field of mortality risk and longevity risk has attracted great attention from academic, government and private sectors. In this paper, we propose a time-varying coefficient (TVC) mortality model aiming to...

Extrapolative methods are one of the most commonly-adopted forecasting approaches in the literature on projecting future mortality rates. It can be argued that there are two types of mortality models using this approach. The first extracts patterns in age, time and cohort dimensions either in a...