Maximilian Euthum, Matthias Scherer, Francesco Ungolo
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引用次数: 0
Abstract
A Neural Network (NN) approach for the modelling of mortality rates in a multi-population framework is compared to three classical mortality models. The NN setup contains two instances of Recurrent NNs, including Long Short-Term Memory (LSTM) and Gated Recurrent Units (GRU) networks. The stochastic approaches comprise the Li and Lee model, the Common Age Effect model of Kleinow, and the model of Plat. All models are applied and compared in a large case study on decades of data of the Italian population as divided in counties. In this case study, a new index of multiple deprivation is introduced and used to classify all Italian counties based on socio-economic indicators, sourced from the local office of national statistics (ISTAT). The aforementioned models are then used to model and predict mortality rates of groups of different socio-economic characteristics, sex, and age.
在多人口框架下，将神经网络（NN）方法用于死亡率建模与三种经典死亡率模型进行了比较。NN 设置包含两个递归 NN 实例，包括长短期记忆 (LSTM) 和门控递归单元 (GRU) 网络。随机方法包括 Li 和 Lee 模型、Kleinow 的共同年龄效应模型和 Plat 模型。所有模型都应用于一项大型案例研究中，并在数十年的意大利各县人口数据中进行了比较。在这一案例研究中，引入了一个新的多重贫困指数，并根据国家统计局地方办事处（ISTAT）提供的社会经济指标对意大利所有县进行分类。然后使用上述模型对不同社会经济特征、性别和年龄组别的死亡率进行建模和预测。
期刊介绍：
Actuarial science and actuarial finance deal with the study, modeling and managing of insurance and related financial risks for which stochastic models and statistical methods are available. Topics include classical actuarial mathematics such as life and non-life insurance, pension funds, reinsurance, and also more recent areas of interest such as risk management, asset-and-liability management, solvency, catastrophe modeling, systematic changes in risk parameters, longevity, etc. EAJ is designed for the promotion and development of actuarial science and actuarial finance. For this, we publish original actuarial research papers, either theoretical or applied, with innovative applications, as well as case studies on the evaluation and implementation of new mathematical methods in insurance and actuarial finance. We also welcome survey papers on topics of recent interest in the field. EAJ is the successor of six national actuarial journals, and particularly focuses on links between actuarial theory and practice. In order to serve as a platform for this exchange, we also welcome discussions (typically from practitioners, with a length of 1-3 pages) on published papers that highlight the application aspects of the discussed paper. Such discussions can also suggest modifications of the studied problem which are of particular interest to actuarial practice. Thus, they can serve as motivation for further studies.Finally, EAJ now also publishes ‘Letters’, which are short papers (up to 5 pages) that have academic and/or practical relevance and consist of e.g. an interesting idea, insight, clarification or observation of a cross-connection that deserves publication, but is shorter than a usual research article. A detailed description or proposition of a new relevant research question, short but curious mathematical results that deserve the attention of the actuarial community as well as novel applications of mathematical and actuarial concepts are equally welcome. Letter submissions will be reviewed within 6 weeks, so that they provide an opportunity to get good and pertinent ideas published quickly, while the same refereeing standards as for other submissions apply. Both academics and practitioners are encouraged to contribute to this new format. Authors are invited to submit their papers online via http://euaj.edmgr.com.
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