Evaluating Forecast Distributions in Neural Network Lee-Carter Type Model for Mortality Rate

Michele La Rocca (), Cira Perna and Marilena Sibillo ()
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Michele La Rocca: University of Salerno, Department of Economics and Statistics
Marilena Sibillo: University of Salerno, Department of Economics and Statistics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2024, pp 218-223 from Springer

Abstract: Abstract In this paper we propose the use of a single hidden layer feed forward artificial neural network as a tool to appropriately capture the nonlinear dynamics of the mortality rates modeled by a Lee-Carter type model. The proposed procedure makes it possible to obtain point forecasts and, by using a bootstrap scheme, the forecast distributions, which allow to take into account the uncertainty of models’ predictions. Empirical evidence on Italian data shows a significant improvement contribution of the proposed methodology.

Keywords: Lee-Carter Model; Feed-forward Neural Networks; Bootstrap forecast distributions (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-64273-9_36

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DOI: 10.1007/978-3-031-64273-9_36

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