用于生命表死亡人数建模和预测的加权组成功能数据分析

IF 3.4 3区 经济学 Q1 ECONOMICS
Han Lin Shang, Steven Haberman
{"title":"用于生命表死亡人数建模和预测的加权组成功能数据分析","authors":"Han Lin Shang,&nbsp;Steven Haberman","doi":"10.1002/for.3171","DOIUrl":null,"url":null,"abstract":"<p>Age-specific life-table death counts observed over time are examples of densities. Nonnegativity and summability are constraints that sometimes require modifications of standard linear statistical methods. The centered log-ratio transformation presents a mapping from a constrained to a less constrained space. With a time series of densities, forecasts are more relevant to the recent data than the data from the distant past. We introduce a weighted compositional functional data analysis for modeling and forecasting life-table death counts. Our extension assigns higher weights to more recent data and provides a modeling scheme easily adapted for constraints. We illustrate our method using age-specific Swedish life-table death counts from 1751 to 2020. Compared with their unweighted counterparts, the weighted compositional data analytic method improves short-term point and interval forecast accuracies. The improved forecast accuracy could help actuaries improve the pricing of annuities and setting of reserves.</p>","PeriodicalId":47835,"journal":{"name":"Journal of Forecasting","volume":null,"pages":null},"PeriodicalIF":3.4000,"publicationDate":"2024-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3171","citationCount":"0","resultStr":"{\"title\":\"Weighted compositional functional data analysis for modeling and forecasting life-table death counts\",\"authors\":\"Han Lin Shang,&nbsp;Steven Haberman\",\"doi\":\"10.1002/for.3171\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>Age-specific life-table death counts observed over time are examples of densities. Nonnegativity and summability are constraints that sometimes require modifications of standard linear statistical methods. The centered log-ratio transformation presents a mapping from a constrained to a less constrained space. With a time series of densities, forecasts are more relevant to the recent data than the data from the distant past. We introduce a weighted compositional functional data analysis for modeling and forecasting life-table death counts. Our extension assigns higher weights to more recent data and provides a modeling scheme easily adapted for constraints. We illustrate our method using age-specific Swedish life-table death counts from 1751 to 2020. Compared with their unweighted counterparts, the weighted compositional data analytic method improves short-term point and interval forecast accuracies. The improved forecast accuracy could help actuaries improve the pricing of annuities and setting of reserves.</p>\",\"PeriodicalId\":47835,\"journal\":{\"name\":\"Journal of Forecasting\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":3.4000,\"publicationDate\":\"2024-06-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1002/for.3171\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Forecasting\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/for.3171\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Forecasting","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/for.3171","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

摘要

随着时间推移观察到的特定年龄生命表死亡人数就是密度的例子。非负性和可求和性是有时需要修改标准线性统计方法的约束条件。居中对数比率转换是从受限空间到较小受限空间的映射。在密度时间序列中,预测与近期数据的相关性高于与远期数据的相关性。我们为生命表死亡人数的建模和预测引入了加权组成函数数据分析。我们的扩展方法为更近期的数据分配了更高的权重,并提供了一种易于适应约束条件的建模方案。我们使用 1751 年至 2020 年按年龄划分的瑞典生命表死亡人数来说明我们的方法。与未加权的同类方法相比,加权组成数据分析方法提高了短期点预测和区间预测的准确性。预测精度的提高有助于精算师改进年金的定价和储备金的设定。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Weighted compositional functional data analysis for modeling and forecasting life-table death counts

Weighted compositional functional data analysis for modeling and forecasting life-table death counts

Age-specific life-table death counts observed over time are examples of densities. Nonnegativity and summability are constraints that sometimes require modifications of standard linear statistical methods. The centered log-ratio transformation presents a mapping from a constrained to a less constrained space. With a time series of densities, forecasts are more relevant to the recent data than the data from the distant past. We introduce a weighted compositional functional data analysis for modeling and forecasting life-table death counts. Our extension assigns higher weights to more recent data and provides a modeling scheme easily adapted for constraints. We illustrate our method using age-specific Swedish life-table death counts from 1751 to 2020. Compared with their unweighted counterparts, the weighted compositional data analytic method improves short-term point and interval forecast accuracies. The improved forecast accuracy could help actuaries improve the pricing of annuities and setting of reserves.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
5.40
自引率
5.90%
发文量
91
期刊介绍: The Journal of Forecasting is an international journal that publishes refereed papers on forecasting. It is multidisciplinary, welcoming papers dealing with any aspect of forecasting: theoretical, practical, computational and methodological. A broad interpretation of the topic is taken with approaches from various subject areas, such as statistics, economics, psychology, systems engineering and social sciences, all encouraged. Furthermore, the Journal welcomes a wide diversity of applications in such fields as business, government, technology and the environment. Of particular interest are papers dealing with modelling issues and the relationship of forecasting systems to decision-making processes.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信