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Modeling Mortality with a Bayesian Vector Autoregression

  • Carolyn Njenga

    ()

    (School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales)

  • Michael Sherris

    ()

    (School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales)

Registered author(s):

    Mortality risk models have been developed to capture trends and common factors driving mortality improvement. Multiple factor models take many forms and are often developed and fitted to older ages. In order to capture trends from young ages it is necessary to take into account the richer age structure of mortality improvement from young ages to middle and then into older ages.

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    File URL: http://cepar.edu.au/media/48706/Modeling%20Mortality.pdf
    File Function: First version, 2011
    Download Restriction: no

    Paper provided by ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales in its series Working Papers with number 201105.

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    Length: 39 pages
    Date of creation: Mar 2011
    Date of revision:
    Handle: RePEc:asb:wpaper:201105
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    Web page: http://www.cepar.edu.au
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    1. Summers, Peter M., 2001. "Forecasting Australia's economic performance during the Asian crisis," International Journal of Forecasting, Elsevier, vol. 17(3), pages 499-515.
    2. Robert B. Litterman, 1985. "Forecasting with Bayesian vector autoregressions five years of experience," Working Papers 274, Federal Reserve Bank of Minneapolis.
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    8. Daniel F. Waggoner & Tao Zha, 1999. "Conditional Forecasts In Dynamic Multivariate Models," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 639-651, November.
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    10. Kadiyala, K. Rao & Karlsson, Sune, 1994. "Numerical Aspects of Bayesian VAR-modeling," SSE/EFI Working Paper Series in Economics and Finance 12, Stockholm School of Economics.
    11. Dreze, Jacques H. & Richard, Jean-Francois, 1983. "Bayesian analysis of simultaneous equation systems," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 9, pages 517-598 Elsevier.
    12. Roger Peng, . "A Method for Visualizing Multivariate Time Series Data," Journal of Statistical Software, American Statistical Association, vol. 25(c01).
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    14. Ronald Lee & Jonathan Skinner, 1999. "Will Aging Baby Boomers Bust the Federal Budget?," Journal of Economic Perspectives, American Economic Association, vol. 13(1), pages 117-140, Winter.
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