CALIBRATING THE LEE-CARTER AND THE POISSON LEE-CARTER MODELS VIA NEURAL NETWORKS

Salvatore Scognamiglio

ASTIN Bulletin, 2022, vol. 52, issue 2, 519-561

Abstract: This paper introduces a neural network (NN) approach for fitting the Lee-Carter (LC) and the Poisson Lee-Carter model on multiple populations. We develop some NNs that replicate the structure of the individual LC models and allow their joint fitting by simultaneously analysing the mortality data of all the considered populations. The NN architecture is specifically designed to calibrate each individual model using all available information instead of using a population-specific subset of data as in the traditional estimation schemes. A large set of numerical experiments performed on all the countries of the Human Mortality Database shows the effectiveness of our approach. In particular, the resulting parameter estimates appear smooth and less sensitive to the random fluctuations often present in the mortality rates’ data, especially for low-population countries. In addition, the forecasting performance results significantly improved as well.

Date: 2022
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