A Neural approach to improve the Lee-Carter mortality density forecasts

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<title>Neural approach to improve the Lee-Carter mortality density forecasts</title>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20230005323">
<namePart>Marino, Mario</namePart>
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<namePart>Nigri, Andrea</namePart>
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<abstract displayLabel="Summary">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 </abstract>
<note type="statement of responsibility">Mario Marino, Susanna Levantesi, Andrea Nigri</note>
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<topic>Cálculo actuarial</topic>
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<topic>Esperanza de vida</topic>
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<topic>Análisis predictivos</topic>
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<topic>Inteligencia artificial</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
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<text>06/03/2023 Tomo 27 Número 1 - 2023 , p. 148-165</text>
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