A Neural Network Extension of the Lee-Carter Model to Multiple Populations

21 Pages Posted: 1 Nov 2018 Last revised: 7 Nov 2018

Date Written: October 22, 2018

Abstract

The Lee-Carter model is a basic approach to forecasting mortality rates of a single population. Although extensions of the Lee-Carter model to forecasting rates for multiple populations have recently been proposed, the structure of these extended models is hard to justify and the models are often difficult to calibrate, relying on customized optimization schemes. Based on the paradigm of representation learning, we extend the Lee-Carter model to multiple populations using neural networks, which automatically select an optimal model structure. We fit this model to mortality rates since 1950 for all countries in the Human Mortality Database and observe that the out-of-sample forecasting performance of the model is highly competitive.

Keywords: Mortality forecasting, Lee-Carter model, Multiple Populations, Neural Networks

JEL Classification: G22, C02, C10, C31, C45

Suggested Citation

Richman, Ronald and Wuthrich, Mario V., A Neural Network Extension of the Lee-Carter Model to Multiple Populations (October 22, 2018). Available at SSRN: https://ssrn.com/abstract=3270877 or http://dx.doi.org/10.2139/ssrn.3270877

Ronald Richman

AIG South Africa ( email )

No Address Available

Mario V. Wuthrich (Contact Author)

RiskLab, ETH Zurich ( email )

Department of Mathematics
Ramistrasse 101
Zurich, 8092
Switzerland

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