Multi-output Gaussian processes for multi-population longevity modelling

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Abstract We investigate joint modelling of longevity trends using the spatial statistical framework of Gaussian process (GP) regression. Our analysis is motivated by the Human Mortality Database (HMD) that provides unified raw mortality tables for nearly 40 countries. Yet few stochastic models exist for handling more than two populations at a time. To bridge this gap, we leverage a spatial covariance framework from machine learning that treats populations as distinct levels of a factor covariate, explicitly capturing the cross-population dependence. The proposed multi-output GP models straightforwardly scale up to a dozen populations and moreover intrinsically generate coherent joint longevity scenarios. In our numerous case studies, we investigate predictive gains from aggregating mortality experience across nations and genders, including by borrowing the most recently available “foreign” data. We show that in our approach, information fusion leads to more precise (and statistically more credible) forecasts. We implement our models in R, as well as a Bayesian version in Stan that provides further uncertainty quantification regarding the estimated mortality covariance structure. All examples utilise public HMD datasets.