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Analyzing Pension Fund Mortality with Gaussian Processes in a Sub Population Framework
Eduardo F. L. de Melo, Michael Ludkovski, Rodrigo S. Targino
https://arxiv.org/abs/2506.03584

Analyzing Pension Fund Mortality with Gaussian Processes in a Sub Population Framework
Pension fund populations often have mortality experiences that are substantially different from the national benchmark. In a motivating case study of Brazilian corporate pension funds, pensioners are observed to have mortality that is 40-55% below the national average, due to the underlying socioeconomic disparities. Direct analysis of a pension fund population is challenging due to very sparse data, with age-specific annual death counts often in low single digits. We design and study a collect…