This paper proposes a two-step LASSO based vector autoregressive (2-LVAR) model to forecast mortality rates. Within the VAR framework, recent studies have developed a spatial-temporal autoregressive (STAR) model, in which age-specific mortality rates are related to their own historical values...

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...