Mortality rate forecasting: can recurrent neural networks beat the Lee-Carter model?

2019/09/12 by Petneházi, Gábor, Gáll, József · 1 citation
#Applications (stat.AP) #FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (stat.ML) #Risk Management (q-fin.RM)

paper · doi:10.48550/arxiv.1909.05501

Abstract

This article applies a long short-term memory recurrent neural network to mortality rate forecasting. The model can be trained jointly on the mortality rate history of different countries, ages, and sexes. The RNN-based method seems to outperform the popular Lee-Carter model.

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