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ANALYZING MORTALITY BOND INDEXES VIA HIERARCHICAL FORECAST RECONCILIATION
16 references·0 citing·46 second hop
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References

  • n.d.Forecasting principles and practice4,364 cited
  • 2008Automatic Time Series Forecasting: The forecast Package for R3,538 cited
  • 2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics1,224 cited
  • 2001Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality523 cited
  • 2011Optimal combination forecasts for hierarchical time series471 cited
  • 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
  • 2018Optimal Forecast Reconciliation for Hierarchical and Grouped Time Series Through Trace Minimization332 cited
  • 2015Supply chain forecasting: Theory, practice, their gap and the future331 cited
  • 2008Hierarchical forecasts for Australian domestic tourism244 cited
  • 1942The Precision of National Income Estimates232 cited
  • 2005Securitization of Life Insurance Assets and Liabilities217 cited
  • 2009Securitization, Insurance, and Reinsurance147 cited
  • 1992Top-down or bottom-up: Aggregate versus disaggregate extrapolations136 cited
  • 2000A note on aggregation, disaggregation and forecasting performance134 cited
  • 2009On the pricing of longevity-linked securities131 cited

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  • 2009Modeling Mortality With Jumps: Applications to Mortality Securitization124 cited
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