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Mortality forecasting using factor models: Time-varying or time-invariant factor loadings?

He, LY; Huang, F; Shi, JJ; Yang, YR

Huang, F (corresponding author), UNSW Sydney, UNSW Business Sch, Sch Risk & Actuarial Studies, Sydney, NSW 2052, Australia.

INSURANCE MATHEMATICS & ECONOMICS, 2021; 98 (): 14

Abstract

Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors i......

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