LSTM-Based Coherent Mortality Forecasting for Developing Countries

Abstract

This paper studies a long short-term memory (LSTM)-based coherent mortality forecasting method for developing countries or regions. Many of such developing countries have experienced a rapid mortality decline over the past few decades. However, their recent mortality development trend is not necessarily driven by the same factors as their long-term behavior. Hence, we propose a time-varying mortality forecasting model based on the life expectancy and lifespan disparity gap between these developing countries and a selected benchmark group. Here, the mortality improvement trend for developing countries is expected to converge gradually to that of the benchmark group during the projection phase. More specifically, we use a unified deep neural network model with LSTM architecture to project the life expectancy and lifespan disparity difference, which further controls the rotation of the time-varying weight parameters in the model. This approach is applied to three developing countries and three developing regions. The empirical results show that this LSTM-based coherent forecasting method outperforms classical methods, especially for the long-term projections of mortality rates in developing countries.