Collections of time series formed via aggregation are prevalent in many fields. These are
commonly referred to as hierarchical time series and may be constructed cross-sectionally …

Abstract This Special Issue of Insurance: Mathematics and Economics contains 16
contributions to the academic literature all dealing with longevity risk and capital markets …

This paper proposes an age-coherent sparse Vector Autoregression mortality model, which
combines the appealing features of existing VAR-based mortality models, to forecast future …

This special issue of the Journal of Demographic Economics contains 10 contributions to the
academic literature all dealing with longevity risk and capital markets. Draft versions of the …

In various situations, a researcher analyses data stored in a matrix. Often, the information is
replicated on different occasions that can be time-varying or refer to different conditions. In …

This paper provides a flexible way to address some ongoing challenges in mortality
modeling, with a special focus on the mortality curvature and possible mortality plateau for …

This paper proposes a Global Vector Autoregression (GVAR) mortality model to
simultaneously model and forecast multi-population mortality dynamics. The proposed …

Mortality improvements and life expectancies have been increasing in recent decades,
leading to growing interest in understanding mortality risk and longevity risk. Studies of …

An article published in the British Medical Journal in 2018 reveals that a number of
developed countries have experienced a decline in life expectancy in recent years. Within …

When modelling subnational mortality rates, we should consider three features:(1) how to
incorporate any possible correlation among subpopulations to potentially improve forecast …