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A Neural approach to improve the Lee-Carter mortality density forecasts
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MAP20230012710
Marino, Mario ‌
A Neural approach to improve the Lee-Carter mortality density forecasts / Mario Marino, Susanna Levantesi, Andrea Nigri
Sumario: Several countries worldwide are experiencing a continuous increase in life expectancy, extending the challenges of life actuaries and demographers in forecasting mortality. Although several stochastic mortality models have been proposed in the literature, mortality forecasting research remains a crucial task. Recently, various research works have encouraged the use of deep learning models to extrapolate suitable patterns within mortality data. Such learning models allow achieving accurate point predictions, though uncertainty measures are also necessary to support both model estimate reliability and risk evaluation. As a new advance in mortality forecasting, we formalize the deep neural network integration within the Lee-Carter framework, as a first bridge between the deep learning and the mortality density forecasts. We test our model proposal in a numerical application considering three representative countries worldwide and for both genders, scrutinizing two different fitting periods
En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 06/03/2023 Tomo 27 Número 1 - 2023 , p. 148-165
1. Cálculo actuarial ‌. 2. Esperanza de vida ‌. 3. Análisis predictivos ‌. 4. Inteligencia artificial ‌. I. Levantesi, Susanna ‌. II. Nigri, Andrea ‌. III. Title.