Showing 1 - 10 of 6,997
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U … jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a similar … forecasts for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770767
We present a new way to model age-specific demographic variables, using the example of age-specific mortality in the … their dynamics jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a … for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10003770768
Well known CPI of urban consumers is never revised. Recently initiated chained CPI is initially released every month (ICPI), for that month without delay within BLS and for the previous month with one month delay to the public. Final estimates of chained CPI (FCPI) are released every February...
Persistent link: https://www.econbiz.de/10011474973
Affine mortality models are well suited for theoretical and practical application in pricing and risk management of … mortality risk. They produce consistent, closed-form stochastic survival curves allowing for the efficient valuation of … mortality-linked claims. We model USA age-cohort mortality data using five multi-factor affine mortality models. We focus on …
Persistent link: https://www.econbiz.de/10013368640
patterns of geographical variation. In this work, spatial filtering is introduced in the context of modeling mortality for the … distribution of mortality rates for the sixty-five and older age group at the county level for the contiguous United States. The … use when it comes to enriching traditional mortality models …
Persistent link: https://www.econbiz.de/10014107205
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10011378346
Persistent link: https://www.econbiz.de/10009724346
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...
Persistent link: https://www.econbiz.de/10011350381
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10012924242
Persistent link: https://www.econbiz.de/10008811071