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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2510.23014 |
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| _version_ | 1866908614221889536 |
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| author | Bimonte, Giovanna Russolillo, Maria Shang, Han Lin Yang, Yang |
| author_facet | Bimonte, Giovanna Russolillo, Maria Shang, Han Lin Yang, Yang |
| contents | Model averaging techniques in the actuarial literature aim to forecast future longevity appropriately by combining forecasts derived from various models. This approach often yields more accurate predictions than those generated by a single model. The key to enhancing forecast accuracy through model averaging lies in identifying the optimal weights from a finite sample. Utilizing sub-optimal weights in computations may adversely impact the accuracy of the model-averaged longevity forecasts. By proposing a game-theoretic approach employing Shapley values for weight selection, our study clarifies the distinct impact of each model on the collective predictive outcome. This analysis not only delineates the importance of each model in decision-making processes, but also provides insight into their contribution to the overall predictive performance of the ensemble. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_23014 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Mortality Models Ensemble via Shapley Value Bimonte, Giovanna Russolillo, Maria Shang, Han Lin Yang, Yang Applications 62R10 Model averaging techniques in the actuarial literature aim to forecast future longevity appropriately by combining forecasts derived from various models. This approach often yields more accurate predictions than those generated by a single model. The key to enhancing forecast accuracy through model averaging lies in identifying the optimal weights from a finite sample. Utilizing sub-optimal weights in computations may adversely impact the accuracy of the model-averaged longevity forecasts. By proposing a game-theoretic approach employing Shapley values for weight selection, our study clarifies the distinct impact of each model on the collective predictive outcome. This analysis not only delineates the importance of each model in decision-making processes, but also provides insight into their contribution to the overall predictive performance of the ensemble. |
| title | Mortality Models Ensemble via Shapley Value |
| topic | Applications 62R10 |
| url | https://arxiv.org/abs/2510.23014 |