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Article Dans Une Revue Risks Année : 2021

Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect

Résumé

Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Standard single population models typically suffer from two major drawbacks: on the one hand, they use a large number of parameters compared to the sample size and, on the other hand, model choice is still often based on in-sample criterion, such as the Bayes information criterion (BIC), and therefore not on the ability to predict. In this paper, we develop a model based on a decomposition of the mortality surface into a polynomial basis. Then, we show how regularization techniques and cross-validation can be used to obtain a parsimonious and coherent predictive model for mortality forecasting. We analyze how COVID-19-type effects can affect predictions in our approach and in the classical one. In particular, death rates forecasts tend to be more robust compared to models with a cohort effect, and the regularized model outperforms the so-called P-spline model in terms of prediction and stability.

Dates et versions

hal-03327064 , version 1 (26-08-2021)

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Karim Barigou, Stéphane Loisel, Yahia Salhi. Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect. Risks, 2021, 9 (1), pp.5. ⟨10.3390/risks9010005⟩. ⟨hal-03327064⟩
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