Expressive mortality models through Gaussian process kernels

Jimmy Risk and Mike Ludkovski

ASTIN Bulletin, 2024, vol. 54, issue 2, 327-359

Abstract: We develop a flexible Gaussian process (GP) framework for learning the covariance structure of Age- and Year-specific mortality surfaces. Utilizing the additive and multiplicative structure of GP kernels, we design a genetic programming algorithm to search for the most expressive kernel for a given population. Our compositional search builds off the Age–Period–Cohort (APC) paradigm to construct a covariance prior best matching the spatio-temporal dynamics of a mortality dataset. We apply the resulting genetic algorithm (GA) on synthetic case studies to validate the ability of the GA to recover APC structure and on real-life national-level datasets from the Human Mortality Database. Our machine learning-based analysis provides novel insight into the presence/absence of Cohort effects in different populations and into the relative smoothness of mortality surfaces along the Age and Year dimensions. Our modeling work is done with the PyTorch libraries in Python and provides an in-depth investigation of employing GA to aid in compositional kernel search for GP surrogates.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:54:y:2024:i:2:p:327-359_6

Access Statistics for this article

More articles in ASTIN Bulletin from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().