Semiparametric Regression for Dual Population Mortality

28 Pages Posted: 19 Nov 2019

See all articles by Gary Venter

Gary Venter

Columbia University

Şule Şahin

University of Liverpool - Institute for Financial and Actuarial Mathematics; Hacettepe University - Department of Actuarial Sciences

Date Written: November 8, 2019

Abstract

Parameter shrinkage applied optimally can always reduce error and projection variances from those of maximum likelihood estimation. Many variables that actuaries use are on numerical scales, like age or year, which require parameters at each point. Rather than shrinking these towards zero, nearby parameters are better shrunk towards each other. Semiparametric regression is a statistical discipline for building curves across parameter classes using shrinkage methodology. It is similar to but more parsimonious than cubic splines. We introduce it in the context of Bayesian shrinkage and apply it to joint mortality modeling for related populations. Bayesian shrinkage of slope changes of linear splines is an approach to semiparametric modeling that evolved in the actuarial literature. It has some theoretical and practical advantages, like closed-form curves, direct and transparent determination of degree of shrinkage and of placing knots for the splines, and quantifying goodness of fit. It is also relatively easy to apply to the many nonlinear models that arise in actuarial work.

Keywords: Semiparametric regression, Joint mortality, Parameter shrinkage, Bayesian shrinkage, MCMC

JEL Classification: C11,C14,C51,C88,G22

Suggested Citation

Venter, Gary and Şahin, Şule, Semiparametric Regression for Dual Population Mortality (November 8, 2019). Available at SSRN: https://ssrn.com/abstract=3483900 or http://dx.doi.org/10.2139/ssrn.3483900

Gary Venter (Contact Author)

Columbia University ( email )

116th and Broadway
New York, NY 10027
United States

Şule Şahin

University of Liverpool - Institute for Financial and Actuarial Mathematics ( email )

Liverpool
United Kingdom

Hacettepe University - Department of Actuarial Sciences ( email )

Ankara
Turkey

Register to save articles to
your library

Register

Paper statistics

Downloads
6
Abstract Views
72
PlumX Metrics