Neural-Actuarial Longevity Forecasting: Anchoring LSTMs for Explainable Risk Management

Accurate loss reserving is foundational to insurer solvency, yet accelerating climate driven catastrophes systematically violate the stability assumptions on which traditional actuarial methods depend. This white paper presents a research program testing whether Long Short Term Memory (LSTM) neural networks can detect and adapt to these structural breaks faster and more accurately than Chain Ladder, Bornhuetter Ferguson, and Cape Cod methods. Using 15 plus years of regulatory development triangle data from Florida and Louisiana, enriched with NOAA hurricane intensity indices and sea surface temperatures, we hypothesize a targeted improvement of 15, 20% in reserve accuracy for catastrophe exposed years, a threshold grounded both in the prior neural network reserving literature and in the formal convergence results developed here. Beyond empirical validation, we develop a theoretical framework grounding LSTM structural break detection in probabilistic terms, providing formal performance guarantees that compensate for the limited number of catastrophe events in the test period. We document the research design, methodology, expected contributions, and a candid assessment of limitations.

Accurate estimation of long-term care transition probabilities is central to disability insurance pricing, reserving, and solvency assessment. Classical actuarial multi-state models commonly rely on Markov, semi-Markov, or proportional-hazard specifications, which provide a direct connection to cohort projection but may be restrictive for irregular longitudinal health data with nonlinear aging patterns and heterogeneous covariate histories. This paper develops a well-calibrated estimator of multi-state transition probabilities for irregular longitudinal health data. The model learns from individual health history, incorporates the time elapsed between observations, and conditions transition probabilities on demographic and socioeconomic attributes. It produces a valid probability distribution over the next observed health state, with four possible states: healthy, mild disability, severe disability, and death. Individual probabilities are aggregated by age group and origin state to form transition matrices compatible with actuarial cohort projection. Using longitudinal data from the Health and Retirement Study, we compare the proposed estimator with logistic regression, gradient-boosted trees, a recurrent neural network, and a last-state persistence benchmark. The evaluation considers probabilistic accuracy, endpoint discrimination and calibration for severe disability and death, risk concentration, and transition matrix error after aggregation. The proposed estimator improves severe disability discrimination relative to logistic regression and gradient-boosted tree benchmarks, maintains strong calibration, and yields the lowest transition matrix error among the evaluated models in the held-out test analysis. Results show that a structured machine learning estimator can support long-term care transition modeling when judged by calibration and projection fidelity, beyond discrimination.

Mortality forecasting plays an important role in actuarial and policy decision-making, but its implementation remains technically complex and inaccessible to non-expert users. This project proposes a reliable large language model (LLM)-integrated interface that improves usability while maintaining statistical power. The LLM is designed as a constrained orchestration layer that translates natural-language inputs into structured configurations for a deterministic forecasting pipeline. A three-phase methodology is employed to ensure accuracy, usability, and transparency. First, a baseline pipeline is implemented using the CoMoMo package, reproducing established mortality forecasting results. Second, the pipeline is extended to generate multi-step forecasts using rolling-origin evaluation and mean squared error (MSE). Third, a prototype interface uses a local LLM to handle users' forecasting requests in plain language. The system demonstrates that LLMs can enhance accessibility without compromising reproducibility, transparency, or actuarial validity in high-stakes analytical workflows.