A seminar by Professor Jackie Li from Monash University
Title: A systematic vector autoregressive framework for modelling and forecasting mortality
Abstract:
Recently, there is a new stream of mortality forecasting research using the vector autoregressive model with different sparse model specifications. They are shown to be able to overcome some of the limitations of the more traditional factor models such as the Lee-Carter model. In this paper, we propose a more generalised systematic vector autoregressive framework for modelling and forecasting mortality. Under this framework, we incorporate subdiagonals and / or superdiagonals of parameters progressively into the autoregressive matrix to formulate a range of model structures in a systematic fashion. They offer much flexibility for coping with the mortality patterns of different populations. The resulting models produce age coherent forecasts, and their parameters are reasonably interpretable for modellers, demographers, and industry practitioners. Using the mortality data of England and Wales, France, Japan, and US, we demonstrate that the proposed approach produces decent fitting and forecasting performances.
https://anu.zoom.us/j/89687923280?pwd=dG13MEZZY1ZXR3E1S0hGM3RWZnFPUT09
Passcode: 468258
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