Unifying mortality forecasting model: an investigation of the COM–Poisson distribution in the GAS model for improved projections
Suryo Adi Rakhmawan,
Tahir Mahmood,
Nasir Abbas
et al.
Abstract:Forecasting mortality rates is crucial for evaluating life insurance company solvency, especially amid disruptions caused by phenomena like COVID-19. The Lee–Carter model is commonly employed in mortality modelling; however, extensions that can encompass count data with diverse distributions, such as the Generalized Autoregressive Score (GAS) model utilizing the COM–Poisson distribution, exhibit potential for enhancing time-to-event forecasting accuracy. Using mortality data from 29 countries, this research ev… Show more
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