The overarching focus on predictive accuracy in mortality forecasting has motivated an increasing shift towards more flexible representations of age-specific period mortality trajectories at the cost of reduced interpretability. While this perspective has led to successful predictive strategies, the inclusion of interpretable structures in modeling of human mortality can be, in fact, beneficial in improving forecasts. We pursue this direction via a novel B-spline process with locally-adaptive dynamic coefficients that outperforms state-of-the-art forecasting strategies by explicitly incorporating core structures of period mortality trajectories within an interpretable formulation that facilitates efficient computation via closed-form Kalman filters and allows direct inference not only on age-specific mortality trends but also on the associated rates of change across times. This is obtained by modelling the age-specific death counts via an over-dispersed Poisson log-normal model parameterized with a combination of B-spline bases having dynamic coefficients that characterize time changes in mortality rates through a set of carefully-defined stochastic differential equations. Such a representation yields high flexibility, but also preserves tractability in inference on dynamic changes of mortality patterns for different age profiles, while accounting for shocks. As illustrated in applications to mortality data from different countries, the proposed model yields more accurate forecasts than state-of-the-art competitors and unveils substantial differences across countries and age groups in mortality patterns, both in the past decades and during the recent covid-19 pandemic.
翻译:对死亡率预测预测准确性的总体关注,促使死亡率预测总体转向更灵活地反映特定年龄时期死亡率轨迹,以降低可解释性为代价。虽然这一视角已导致成功的预测战略,但将可解释的结构纳入模拟人类死亡的模型实际上有利于改进预测。我们通过一个创新的B-spline进程,与当地适应性动态系数相结合,实现这一方向,这些系数优于最先进的预测战略,在可解释的公式中明确纳入不同时期死亡率轨迹的核心结构,从而便利通过封闭式卡尔曼过滤器进行高效计算,不仅能够直接推断特定年龄死亡率趋势,而且能够直接推断相关的不同时间变化率。这可以通过通过一个超分散的Poisson日志常态模型模型来模拟特定年龄死亡的计数,结合B-spline基础,这些基准具有动态系数,通过一套精心界定的随机分析的死亡率差异方程式来确定死亡率变化。这种表示具有高度的灵活性,而且不仅能够保持对特定年龄趋势趋势进行直接分析,而且还能够直接推断,同时根据不同年龄国家的最新数据模式和最新死亡率预测的动态变化,同时对不同年龄结构进行不同的预测,对不同类别进行不同的预测。