Lee-Carter model and Kernel PCA

• Main Author: Wu, Yuanqi
• Other Authors: Pan Guangming
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2022
• Subjects: Science::Mathematics::Statistics; Business::Finance::Insurance::Mathematical models
• Online Access: https://hdl.handle.net/10356/156935
• Institution: Nanyang Technological University

This thesis investigates the application of Kernel Principal Component Analysis (KPCA) method on the Lee-Carter model, which is a two-step model for estimating and forecasting mortality rates (Lee and Carter, 1992). The motivation comes from the possible non-linearity of mortality data which cannot...