Time-series forecasting of mortality rates using transformer

Jun Wang, Lihong Wen, Lu Xiao and Chaojie Wang

Scandinavian Actuarial Journal, 2024, vol. 2024, issue 2, 109-123

Abstract: Predicting mortality rates is a crucial issue in life insurance pricing and demographic statistics. Traditional approaches, such as the Lee-Carter model and its variants, predict the trends of mortality rates using factor models, which explain the variations of mortality rates from the perspective of ages, gender, regions, and other factors. Recently, deep learning techniques have achieved great success in various tasks and shown strong potential for time-series forecasting. In this paper, we propose a modified Transformer architecture for predicting mortality rates in major countries around the world. Through the multi-head attention mechanism and positional encoding, the proposed Transformer model extracts key features effectively and thus achieves better performance in time-series forecasting. By using empirical data from the Human Mortality Database, we demonstrate that our Transformer model has higher prediction accuracy of mortality rates than the Lee-Carter model and other classic neural networks. Our model provides a powerful forecasting tool for insurance companies and policy makers.

Date: 2024
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DOI: 10.1080/03461238.2023.2218859

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