Advancing mortality rate prediction in European population clusters: integrating deep learning and multiscale analysis

Abstract

Abstract Accurately predicting population mortality rates is crucial for effective retirement insurance and economic policy formulation. Recent advancements in deep learning time series forecasting (DLTSF) have led to improved mortality rate predictions compared to traditional models like Lee-Carter (LC). This study focuses on mortality rate prediction in large clusters across Europe. By utilizing PCA dimensionality reduction and statistical clustering techniques, we integrate age features from high-dimensional mortality data of multiple countries, analyzing their similarities and differences. To capture the heterogeneous characteristics, an adaptive adjustment matrix is generated, incorporating sequential variation and spatial geographical information. Additionally, a combination of graph neural networks and a transformer network with an adaptive adjustment matrix is employed to capture the spatiotemporal features between different clusters. Extensive numerical experiments using data from the Human Mortality Database validate the superiority of the proposed GT-A model over traditional LC models and other classic neural networks in terms of prediction accuracy. Consequently, the GT-A model serves as a powerful forecasting tool for global population studies and the international life insurance field.