Extending the lee-carter model with variational autoencoder: a fusion of neural network and bayesian approach

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<title>Extending the lee-carter model with variational autoencoder: a fusion of neural network and bayesian approach</title>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20220008563">
<namePart>Miyata, Akihiro</namePart>
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<abstract displayLabel="Summary">In this study, we propose a nonlinear Bayesian extension of the LeeCarter (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 by a time series model fitting. To address the limitations of LC, which are attributed to the two-stage estimation and insufficient model fitness to data, single-stage procedures using the Bayesian state-space (BSS) approaches and extensions of flexibility in modeling by NNs have been proposed. As a fusion of these two approaches, we propose a NN extension of LC with a variational autoencoder that performs the variational Bayesian estimation of a state-space model and dimensionality reduction by autoencoding. Despite being a NN model that performs single-stage estimation of parameters, our model has excellent interpretability and the ability to forecast with confidence intervals, as with the BSS models, without using Markov chain Monte Carlo methods.

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<accessCondition type="use and reproduction">La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"</accessCondition>
<note type="statement of responsibility">Akihiro Miyata</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20100065273">
<topic>Modelo Lee-Carter</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20100065242">
<topic>Teorema de Bayes</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
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<text>05/09/2022 Volumen 52 Número 3 - septiembre 2022 , p. 789-812</text>
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