2 papers
stat.ME2021
Mortality Forecasting using Factor Models: Time-varying or Time-invariant Factor Loadings?
Lingyu He, Fei Huang, Jianjie Shi +1
Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors in factor models are defined as…
stat.AP2021
A Forecast-driven Hierarchical Factor Model with Application to Mortality Data
Lingyu He, Fei Huang, Yanrong Yang
Mortality forecasting plays a pivotal role in insurance and financial risk management of life insurers, pension funds, and social securities. Mortality data is usually high-dimensi…