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...

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...

We introduce the function principal component regression (FPCR) forecasting method to model and forecast age-specific survival functions observed over time. The age distribution of survival functions is an example of constrained data whose values lie within a unit interval. Because of the...