Mortality modeling and regression with matrix distributions

Research output: Contribution to journalJournal articleResearchpeer-review

Documents

  • Fulltext

    Final published version, 2.06 MB, PDF document

In this paper we investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valued parameters via inhomogeneous phase-type distributions can lead to reasonably accurate and relatively parsimonious models for mortality curves across the entire lifespan. A particular feature of the proposed model framework is that it allows for a more direct interpretation of the implied underlying aging process than some previous approaches. Subsequently, towards applications of the approach for multi-population mortality modeling, we introduce regression via the concept of proportional intensities, which are more flexible than proportional hazard models, and we show that the two classes are asymptotically equivalent. We illustrate how the model parameters can be estimated from data by providing an adapted EM algorithm for which the likelihood increases at each iteration. The practical feasibility and competitiveness of the proposed approach, including the right-censored case, are illustrated by several sets of mortality and survival data.

Original languageEnglish
JournalInsurance: Mathematics and Economics
Volume107
Pages (from-to)68-87
Number of pages20
ISSN0167-6687
DOIs
Publication statusPublished - 2022

Bibliographical note

Publisher Copyright:
© 2022 The Author(s)

    Research areas

  • Inhomogeneous Markov processes, Inhomogeneous phase-type distributions, Phase-type distributions, Regression models, Survival analysis

ID: 343343582