Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble

Liqun Diao, Yechao Meng, Chengguo Weng and Tony Wirjanto

North American Actuarial Journal, 2023, vol. 27, issue 4, 751-770

Abstract: We propose a bivariate model–based ensemble (BMBE) method to borrow information from the mortality data of a given pool of auxiliary populations to enhance the mortality forecasting of a target population. The BMBE method establishes a cascade of bivariate mortality models between the target population and each auxiliary population as the base learners. Then it aggregates prediction results from all of the base learners by means of an averaging strategy. Augmented common factor–type and CBD-type bivariate models are applied as the base learners as illustrative examples in the empirical studies with the Human Mortality Database. Empirical results presented in this article confirm the effectiveness of the proposed BMBE method in enhancing mortality prediction. For completeness, we also conduct a synthetic study to illustrate a particular setting for the superior performance of the BMBE method.

Date: 2023
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DOI: 10.1080/10920277.2023.2167832

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