The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently … across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple … factors: a factor common for all age groups, factors for infant and adult mortality, and a factor for the “accident hump” that …

This study considers the forecasting of mortality rates in multiple populations. We propose a model that combines … mortality forecasting and functional data analysis (FDA). Under the FDA framework, the mortality curve of each year is assumed … forecast mortality rates in multiple populations. This model incorporates the merits of existing models in that it excludes …

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real …. We find strong evidence of fractional cointegration between securitized real estate and the three sets of variables. Such … cointegration for forecasting purposes proves particularly useful since the start of the financial crisis …