Semiparametric regression for dual population mortality

DOI10.1080/10920277.2021.1914665MaRDI QIDQ5043477zbMATH OpenOpenAlexFDO

Authors G. Venter, Şule Önsel Şahin

Publication date 6 October 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1912.04406

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Abstract: Parameter shrinkage applied optimally can always reduce error and projection variances from those of maximum likelihood estimation. Many variables that actuaries use are on numerical scales, like age or year, which require parameters at each point. Rather than shrinking these towards zero, nearby parameters are better shrunk towards each other. Semiparametric regression is a statistical discipline for building curves across parameter classes using shrinkage methodology. It is similar to but more parsimonious than cubic splines. We introduce it in the context of Bayesian shrinkage and apply it to joint mortality modeling for related populations. Bayesian shrinkage of slope changes of linear splines is an approach to semiparametric modeling that evolved in the actuarial literature. It has some theoretical and practical advantages, like closed-form curves, direct and transparent determination of degree of shrinkage and of placing knots for the splines, and quantifying goodness of fit. It is also relatively easy to apply to the many nonlinear models that arise in actuarial work. We find that it compares well to a more complex state-of-the-art statistical spline shrinkage approach on a popular example from that literature.

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Cited in

(3)

• A semiparametric panel approach to mortality modeling
• A note on a semiparametric estimator of mortality
• A mortality model for pandemics and other contagion events

Describes a project that uses

Uses Software

• RStan
• SemiPar
• glmnet

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