Quantile mortality modelling of multiple populations via neural networks

DOI10.1016/J.INSMATHECO.2024.02.007MaRDI QIDQ6543151zbMATH OpenFDO

Authors Stefania Corsaro, Zelda Marino, Salvatore Scognamiglio

Publication date 24 May 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.02.007

zbMATH Keywords

human mortality databaseLee-Carter modelmulti-population mortality modellingmultivariate time series

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Artificial neural networks and deep learning (68T07) Actuarial mathematics (91G05)

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• 10.1162/153244303322533223
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• Quantile regression.
• Regression Quantiles
• Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
• The Lee-Carter quantile mortality model
• Understanding, modelling and managing longevity risk: key issues and main challenges

Cited in

(5)

• A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population
• Neural networks for simultaneous modeling of multi-population mortality with coherent forecasts
• Transformers-based least square Monte Carlo for solvency calculation in life insurance
• Neural network Lee–Carter model and the actuarial relevance of longevity risk assessment
• Quantile-based interpretable neural network models: mortality forecasting and actuarial simulations

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