This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper features a large cross-sectional dimension N but short...

With the advent of Big Data and machine learning/AI technologies, actuaries can now develop advanced models in a data-rich environment to achieve better forecasting performance and provide added value in many applications. Traditionally, economic forecasting for actuarial applications is...

Cause-of-death mortality modeling and forecasting is an important topic in demography and actuarial science, as it can provide valuable insights into the risks and factors determining future mortality rates. In this paper, we propose a novel predictive approach for cause-of-death mortality...