A Two-Population Extension of the Exponential Smoothing State Space Model with a Smoothing Penalisation Scheme

A Two-Population Extension of the Exponential Smoothing State Space Model with a Smoothing Penalisation Scheme

The joint modelling of mortality rates for multiple populations has gained increasing popularity in areas such as government planning and insurance pricing. Sub-groups of a population often preserve similar mortality features with short-term deviations from the common trend. Recent studies indicate...

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Bibliographic Details
Main Authors: Yanlin Shi, Sixian Tang, Jackie Li
Format: Article
Language:English
Published: MDPI AG 2020-06-01
Series:Risks
Subjects:
mortality forecasting
exponential smoothing
penalty scheme
coherent mortality models
Online Access:https://www.mdpi.com/2227-9091/8/3/67

Internet

https://www.mdpi.com/2227-9091/8/3/67

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