EXTENDING THE LEE–CARTER MODEL WITH VARIATIONAL AUTOENCODER: A FUSION OF NEURAL NETWORK AND BAYESIAN APPROACH

In this study, we propose a nonlinear Bayesian extension of the Lee–Carter (LC) model using a single-stage procedure with a dimensionality reduction neural network (NN). LC is originally estimated using a two-stage procedure: dimensionality reduction of data by singular value decomposition followed...

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Bibliographic Details

Published in:	ASTIN Bulletin : The Journal of the IAA Vol. 52; no. 3; pp. 789 - 812
Main Authors:	Miyata, Akihiro, Matsuyama, Naoki
Format:	Journal Article
Language:	English
Published:	New York, USA Cambridge University Press 01.09.2022
Subjects:	Accuracy Actuarial science Age Approximation Confidence intervals Mortality Neural networks Neurons Time series state-space model Lee–Carter model variational Bayesian inference variational autoencoder
ISSN:	0515-0361, 1783-1350
Online Access:	Get full text
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