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Machine Learning Techniques for Mortality Modeling

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  • Philippe Deprez
  • Pavel V. Shevchenko
  • Mario V. Wuthrich

Abstract

Various stochastic models have been proposed to estimate mortality rates. In this paper we illustrate how machine learning techniques allow us to analyze the quality of such mortality models. In addition, we present how these techniques can be used for differentiating the different causes of death in mortality modeling.

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  • Philippe Deprez & Pavel V. Shevchenko & Mario V. Wuthrich, 2017. "Machine Learning Techniques for Mortality Modeling," Papers 1705.03396, arXiv.org.
    • Handle: RePEc:arx:papers:1705.03396
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    References listed on IDEAS

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    1. Mario V. Wuthrich & Christoph Buser, 2016. "Data Analytics for Non-Life Insurance Pricing," Swiss Finance Institute Research Paper Series 16-68, Swiss Finance Institute.
    2. Arthur Renshaw & Steven Haberman, 2003. "Lee–Carter mortality forecasting: a parallel generalized linear modelling approach for England and Wales mortality projections," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 52(1), pages 119-137, January.
    3. Alai, Daniel H. & Arnold (-Gaille), Séverine & Sherris, Michael, 2015. "Modelling cause-of-death mortality and the impact of cause-elimination," Annals of Actuarial Science, Cambridge University Press, vol. 9(1), pages 167-186, March.
    4. Renshaw, A.E. & Haberman, S., 2006. "A cohort-based extension to the Lee-Carter model for mortality reduction factors," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 556-570, June.
    5. Carter, Lawrence R. & Lee, Ronald D., 1992. "Modeling and forecasting US sex differentials in mortality," International Journal of Forecasting, Elsevier, vol. 8(3), pages 393-411, November.
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    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    2. Quan Zhiyu & Valdez Emiliano A., 2018. "Predictive analytics of insurance claims using multivariate decision trees," Dependence Modeling, De Gruyter, vol. 6(1), pages 377-407, December.
    3. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2022. "Thirty years on: A review of the Lee-Carter method for forecasting mortality," SocArXiv 8u34d, Center for Open Science.
    4. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2019. "Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate," Papers 1903.00369, arXiv.org, revised Jul 2019.
    5. Susanna Levantesi & Virginia Pizzorusso, 2019. "Application of Machine Learning to Mortality Modeling and Forecasting," Risks, MDPI, vol. 7(1), pages 1-19, February.
    6. Boumezoued, Alexandre & Elfassihi, Amal, 2021. "Mortality data correction in the absence of monthly fertility records," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 486-508.
    7. Ufuk Beyaztas & Hanlin Shang, 2022. "Machine-Learning-Based Functional Time Series Forecasting: Application to Age-Specific Mortality Rates," Forecasting, MDPI, vol. 4(1), pages 1-15, March.
    8. Aliki Sagianou & Peter Hatzopoulos, 2022. "Extensions on the Hatzopoulos–Sagianou Multiple-Components Stochastic Mortality Model," Risks, MDPI, vol. 10(7), pages 1-30, June.
    9. Augusto Cerqua & Roberta Di Stefano & Marco Letta & Sara Miccoli, 2021. "Local mortality estimates during the COVID-19 pandemic in Italy," Journal of Population Economics, Springer;European Society for Population Economics, vol. 34(4), pages 1189-1217, October.
    10. Emer Owens & Barry Sheehan & Martin Mullins & Martin Cunneen & Juliane Ressel & German Castignani, 2022. "Explainable Artificial Intelligence (XAI) in Insurance," Risks, MDPI, vol. 10(12), pages 1-50, December.
    11. Mark Kiermayer & Christian Wei{ss}, 2022. "Neural calibration of hidden inhomogeneous Markov chains -- Information decompression in life insurance," Papers 2201.02397, arXiv.org.
    12. Basellini, Ugofilippo & Camarda, Carlo Giovanni & Booth, Heather, 2023. "Thirty years on: A review of the Lee–Carter method for forecasting mortality," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1033-1049.
    13. Joab Odhiambo & Patrick Weke & Philip Ngare, 2021. "A Deep Learning Integrated Cairns-Blake-Dowd (CBD) Sytematic Mortality Risk Model," JRFM, MDPI, vol. 14(6), pages 1-12, June.
    14. Andrea Nigri & Susanna Levantesi & Mario Marino & Salvatore Scognamiglio & Francesca Perla, 2019. "A Deep Learning Integrated Lee–Carter Model," Risks, MDPI, vol. 7(1), pages 1-16, March.
    15. Alexandre Boumezoued & Amal Elfassihi, 2020. "Mortality data correction in the absence of monthly fertility records," Working Papers hal-02634631, HAL.

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