Mind the gap – safely incorporating deep learning models into the actuarial toolkit

Deep neural network models have substantial advantages over traditional and machine learning methods that make this class of models particularly promising for adoption by actuaries. Nonetheless, several important aspects of these models have not yet been studied in detail in the actuarial literature: the effect of hyperparameter choice on the accuracy and stability of network predictions, methods for producing uncertainty estimates and the design of deep learning models for explainability. To allow actuaries to incorporate deep learning safely into their toolkits, we review these areas in the context of a deep neural network for forecasting mortality rates.