Robust Non-Parametric Mortality and Fertility Modelling and Forecasting: Gaussian Process Regression Approaches

Ka Kin Lam and Bo Wang
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Ka Kin Lam: School of Mathematics and Actuarial Science, University of Leicester, Leicester LE1 7RH, UK
Bo Wang: School of Mathematics and Actuarial Science, University of Leicester, Leicester LE1 7RH, UK

Forecasting, 2021, vol. 3, issue 1, 1-21

Abstract: A rapid decline in mortality and fertility has become major issues in many developed countries over the past few decades. An accurate model for forecasting demographic movements is important for decision making in social welfare policies and resource budgeting among the government and many industry sectors. This article introduces a novel non-parametric approach using Gaussian process regression with a natural cubic spline mean function and a spectral mixture covariance function for mortality and fertility modelling and forecasting. Unlike most of the existing approaches in demographic modelling literature, which rely on time parameters to determine the movements of the whole mortality or fertility curve shifting from one year to another over time, we consider the mortality and fertility curves from their components of all age-specific mortality and fertility rates and assume each of them following a Gaussian process over time to fit the whole curves in a discrete but intensive style. The proposed Gaussian process regression approach shows significant improvements in terms of forecast accuracy and robustness compared to other mainstream demographic modelling approaches in the short-, mid- and long-term forecasting using the mortality and fertility data of several developed countries in the numerical examples.

Keywords: demographic modelling; mortality forecasting; fertility forecasting; Gaussian process; non-parametric regression; Lee-Carter model (search for similar items in EconPapers)
JEL-codes: A1 B4 C0 C1 C2 C3 C4 C5 C8 M0 Q2 Q3 Q4 (search for similar items in EconPapers)
Date: 2021
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