Estimation of future mortality rates still plays a central role among life insurers in pricing their products and managing longevity risk. In the literature on mortality modeling, a wide number of stochastic models have been proposed, most of them forecasting future mortality rates by extrapolating one or more latent factors. The abundance of proposed models shows that forecasting future mortality from historical trends is non-trivial. Following the idea proposed in Deprez et al. (2017), we use machine learning algorithms, able to catch patterns that are not commonly identifiable, to calibrate a parameter (the machine learning estimator), improving the goodness of fit of standard stochastic mortality models. The machine learning estimator is then forecasted according to the Lee-Carter framework, allowing one to obtain a higher forecasting quality of the standard stochastic models. Out-of sample forecasts are provided to verify the model accuracy.

Application of Machine Learning to Mortality Modeling and Forecasting / Levantesi, Susanna; Pizzorusso, Virginia. - In: RISKS. - ISSN 2227-9091. - 7:26(2019), pp. 1-19. [10.3390/risks7010026]

Application of Machine Learning to Mortality Modeling and Forecasting

Susanna Levantesi
Primo
;
PIZZORUSSO, VIRGINIA
Secondo
2019

Abstract

Estimation of future mortality rates still plays a central role among life insurers in pricing their products and managing longevity risk. In the literature on mortality modeling, a wide number of stochastic models have been proposed, most of them forecasting future mortality rates by extrapolating one or more latent factors. The abundance of proposed models shows that forecasting future mortality from historical trends is non-trivial. Following the idea proposed in Deprez et al. (2017), we use machine learning algorithms, able to catch patterns that are not commonly identifiable, to calibrate a parameter (the machine learning estimator), improving the goodness of fit of standard stochastic mortality models. The machine learning estimator is then forecasted according to the Lee-Carter framework, allowing one to obtain a higher forecasting quality of the standard stochastic models. Out-of sample forecasts are provided to verify the model accuracy.
2019
mortality; forecasting; machine learning; Lee-Carter model
01 Pubblicazione su rivista::01a Articolo in rivista
Application of Machine Learning to Mortality Modeling and Forecasting / Levantesi, Susanna; Pizzorusso, Virginia. - In: RISKS. - ISSN 2227-9091. - 7:26(2019), pp. 1-19. [10.3390/risks7010026]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1244913
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