Machine learning techniques for mortality modeling

DOI10.1007/S13385-017-0152-4MaRDI QIDQ1689019zbMATH OpenOpenAlexFDO

Authors Philippe Deprez, Pavel V. Shevchenko, Mario V. Wüthrich

Publication date 12 January 2018

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.03396

zbMATH Keywords

boostingmachine learningregressionmortality modelingcause-of-death mortality

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Inference from stochastic processes and prediction (62M20)

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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Cites work

• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
• Lee–Carter Mortality Forecasting: A Parallel Generalized Linear Modelling Approach for England and Wales Mortality Projections
• Modeling and forecasting U.S. mortality. (With discussion)
• ON THE SMALLNESS OF SINKING REGIONS IN THE OCEAN

Cited in

(12)

• Expressive mortality models through Gaussian process kernels
• TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY
• Longevity risk and capital markets: the 2019--20 update
• Mortality data correction in the absence of monthly fertility records
• Predictive analytics of insurance claims using multivariate decision trees
• Experience rating in the classic Markov chain life insurance setting
• A random forest algorithm to improve the Lee-Carter mortality forecasting: impact on q-forward
• Improving the forecast of longevity by combining models
• A Neural Approach to Improve the Lee-Carter Mortality Density Forecasts
• Grouping of contracts in insurance using neural networks
• Automatic learning of mortality in a CPN model of the systemic inflammatory response syndrome
• Efficient use of data for LSTM mortality forecasting

Describes a project that uses

Uses Software

• rpart
• StMoMo

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