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Risks 2018, 6(3), 97; https://doi.org/10.3390/risks6030097

General Quantile Time Series Regressions for Applications in Population Demographics

Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh EH14 4AS, UK
Received: 3 June 2018 / Revised: 23 August 2018 / Accepted: 31 August 2018 / Published: 13 September 2018
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Abstract

The paper addresses three objectives: the first is a presentation and overview of some important developments in quantile times series approaches relevant to demographic applications—secondly, development of a general framework to represent quantile regression models in a unifying manner, which can further enhance practical extensions and assist in formation of connections between existing models for practitioners. In this regard, the core theme of the paper is to provide perspectives to a general audience of core components that go into construction of a quantile time series model. The third objective is to compare and discuss the application of the different quantile time series models on several sets of interesting demographic and mortality related time series data sets. This has relevance to life insurance analysis and the resulting exploration undertaken includes applications in mortality, fertility, births and morbidity data for several countries, with a more detailed analysis of regional data in England, Wales and Scotland. View Full-Text
Keywords: quantile time series; mortality modelling; demographic modelling; quantile regression quantile time series; mortality modelling; demographic modelling; quantile regression
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Peters, G.W. General Quantile Time Series Regressions for Applications in Population Demographics. Risks 2018, 6, 97.

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