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Posts feedRobust mortality forecasting for multivariate models
In my previous blog I showed how univariate stochastic mortality models like the Lee-Carter and APC models can be robustified to cope with data affected by the covid-19 pandemic. This blog considers multivariate models.
Getting to the root of time-series forecasting
When using a stochastic model for mortality forecasting, people can either use penalty functions or time-series methods . Each approach has its pros and cons, but time-series methods are the commonest. I demonstrated in an earlier posting how an ARIMA time-series model can be a better representation of a mortality index than a random walk with drift.
Parameterising the CMI projection spreadsheet
The CMI is the part of the UK actuarial profession which collates mortality data from UK life offices and pension consultants. Amongst its many outputs is an Excel spreadsheet used for setting deterministic mortality forecasts. This spreadsheet is in widespread use throughout the UK at the time of writing, not least for the published reserves for most insurers and pension schemes.
Volatility v. Trend Risk
The year 1992 was important in the development of forecasting methods: Ronald Lee and Lawrence Carter published their highly influential paper on forecasting US mortality.
Cast adrift
One of the most written-about models for stochastic mortality projections is that from Lee & Carter (1992).