Actuarial Bayesian nonparametric regression modelling for survival data

This paper introduces a flexible regression model for the statistical analysis of the individual mortality profile of pension scheme members. The model incorporates individual-specific random effects, which follow a discrete distribution drawn from a Dirichlet Process, enhancing its adaptability to complex data structures. This results in a Dependent Dirichlet Process mixture model in the spirit of De Iorio et al. (Biometrics 65(3):762–771. https://doi.org/10.1111/j.1541-0420.2008.01166.x , 2009), which accommodates nonmonotonic relationships between covariates and the regression function. The application of the model is illustrated through the analysis of a mid-sized UK pension scheme dataset. The model shows the ability to capture complex features of the data, such as the late life mortality deceleration at no cost in terms of model parsimony, and an improved out-of-sample performance compared with standard parametric alternatives, making it particularly suitable for actuarial modelling applications.

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Publication Details

Journal
Annals of Operations Research
Published
2026-01-29
DOI
https://doi.org/10.1007/s10479-026-07039-7
Primary Topic
Bayesian Methods and Mixture Models
Type
article
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article

Actuarial Bayesian nonparametric regression modelling for survival data

Francesco Ungolo, Torsten Kleinow, Angus S. Macdonald
Annals of Operations Research
Bayesian Methods and Mixture Models
article

Actuarial Bayesian nonparametric regression modelling for survival data

Francesco Ungolo, Torsten Kleinow, Angus S. Macdonald
article en

Abstract

This paper introduces a flexible regression model for the statistical analysis of the individual mortality profile of pension scheme members. The model incorporates individual-specific random effects, which follow a discrete distribution drawn from a Dirichlet Process, enhancing its adaptability to complex data structures. This results in a Dependent Dirichlet Process mixture model in the spirit of De Iorio et al. (Biometrics 65(3):762–771. https://doi.org/10.1111/j.1541-0420.2008.01166.x , 2009), which accommodates nonmonotonic relationships between covariates and the regression function. The application of the model is illustrated through the analysis of a mid-sized UK pension scheme dataset. The model shows the ability to capture complex features of the data, such as the late life mortality deceleration at no cost in terms of model parsimony, and an improved out-of-sample performance compared with standard parametric alternatives, making it particularly suitable for actuarial modelling applications.

Annals of Operations Research
UNSW Sydney (AU), Heriot-Watt University (GB), Maxwell Institute for Mathematical Sciences (GB), Amsterdam University of Applied Sciences (NL), University of Amsterdam (NL)
Good health and well-being
Openalex Percentile: Top 75%
Bayesian Methods and Mixture Models
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Actuarial Bayesian nonparametric regression modelling for survival data — Francesco Ungolo, Torsten Kleinow, et al. · Annals of Operations Research (2026) | TGRS Research Map | TGRS