Neighbouring Prediction for Mortality

ASTIN Bulletin, the Journal of the IAA, forthcoming.

Nanyang Business School Research Paper No. 20-07

41 Pages Posted: 11 May 2020 Last revised: 5 Apr 2021

See all articles by Chou‐Wen Wang

Chou‐Wen Wang

National Kaohsiung University of Science and Technology

Jinggong Zhang

Nanyang Business School, Nanyang Technological University

Wenjun Zhu

Nanyang Business School, Nanyang Technological University

Date Written: April 2, 2020

Abstract

We propose new neighbouring prediction models for mortality forecasting. For each mortality rate at age x in year t, denoted as mx,t, we construct images of neighbourhood mortality data around mx,t, i.e., ℇmx,t (x1, x2, s), which includes mortality information for ages in [x − x1, x + x2], lagging k years (1 ≤ k ≤ s). Combined with the deep learning model - convolutional neural networks (CNN), this framework is able to capture the intricate nonlinear structure in the mortality data: the neighbourhood effect, which can go beyond the directions of period, age, and cohort as in classic mortality models. By performing an extensive empirical analysis on all the 41 countries and regions in the Human Mortality Database (HMD), we find that the proposed model achieves superior forecasting performance. This model can be further enhanced to capture the patterns and interactions between multiple populations.

Keywords: artificial intelligence, convolutional neural network, longevity risk, multi-population mortality modelling

JEL Classification: C45, C51, C52, C53, G22, J11

Suggested Citation

Wang, Chou‐Wen and Zhang, Jinggong and Zhu, Wenjun, Neighbouring Prediction for Mortality (April 2, 2020). ASTIN Bulletin, the Journal of the IAA, forthcoming., Nanyang Business School Research Paper No. 20-07, Available at SSRN: https://ssrn.com/abstract=3567016 or http://dx.doi.org/10.2139/ssrn.3567016

Chou‐Wen Wang

National Kaohsiung University of Science and Technology ( email )

2 Jhuoyue Rd.
Nanzih
Kaohsiung City, Taiwan 811
Taiwan

Jinggong Zhang

Nanyang Business School, Nanyang Technological University ( email )

Singapore, 639798
Singapore

Wenjun Zhu (Contact Author)

Nanyang Business School, Nanyang Technological University ( email )

50 Nanyang Avenue
Singapore, 639798
Singapore
(65) 6592-1859 (Phone)

HOME PAGE: http://sites.google.com/view/wenjun-zhu

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