Wavelet-based feature extraction for mortality projection

Donatien Hainaut () and Michel Denuit ()
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Donatien Hainaut: Université catholique de Louvain, LIDAM/ISBA, Belgium
Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2020008, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Wavelet theory is known to be a powerful tool for compressing and processing time series or images. It consists in projecting a signal on an orthonormal basis of functions that are chosen in order to provide a sparse representation of the data. The first part of this article focuses on smoothing mortality curves by wavelets shrinkage. A chi-square test and a penalized likelihood approach are applied to determine the optimal degree of smoothing. The second part of this article is devoted to mortality forecasting. Wavelet coefficients exhibit clear trends for the Belgian population from 1965 to 2015, they are easy to forecast resulting in predicted future mortality rates. The wavelet-based approach is then compared with some popular actuarial models of Lee–Carter type estimated fitted to Belgian, UK, and US populations. The wavelet model outperforms all of them.

Keywords: Discrete wavelet transform; mortality smoothing; Poisson regression; regularization; Lasso (search for similar items in EconPapers)
Date: 2020-06-25
Note: In : ASTIN Bulletin - Vol. 50, no. 3, p. 675-707 (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2020008

DOI: 10.1017/asb.2020.18

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