Mortality forecasting using stacked regression ensembles

DOI10.1080/03461238.2021.1999316zbMath1501.91156OpenAlexW3213440683MaRDI QIDQ5042782

Andrés M. Villegas, Salvatory R. Kessy, Jonathan Ziveyi, Michael Sherris

Publication date: 26 October 2022

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2021.1999316

zbMATH Keywords

cross-validationmodel uncertaintyensemble learningmodel combinationmortality forecastingage-period-cohort modelstacked regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

Related Items (4)

CoMoMo ⋮ Ensemble Economic Scenario Generators: Unity Makes Strength ⋮ Forecasting mortality rates with a coherent ensemble averaging approach ⋮ Enhancing Mortality Forecasting through Bivariate Model–Based Ensemble

Uses Software

• R
• SuperLearner
• ISLR
• Human Mortality
• EnsemblePCReg
• imputeTS
• StMoMo

Cites Work

• The Model Confidence Set
• Modeling and Forecasting U.S. Mortality
• Robustness and convergence in the Lee-Carter model with cohort effects
• On stochastic mortality modeling
• Estimating the dimension of a model
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• On the usefulness of cross-validation for directional forecast evaluation
• Using stacking to average Bayesian predictive distributions (with discussion)
• Stacked regressions
• Addressing the life expectancy gap in pension policy
• Model combination for credit risk assessment: a stacked generalization approach
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Simple versus complex models: Evaluation, accuracy, and combining
• On fitting generalized linear and non-linear models of mortality
• 10.1162/153244304773936090
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• A GROUP REGULARISATION APPROACH FOR CONSTRUCTING GENERALISED AGE-PERIOD-COHORT MORTALITY PROJECTION MODELS
• A new look at the statistical model identification

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