A Hybrid SARIMAX Model in Conjunction with Neural Networks for the Forecasting of Life Insurance Industry Growth in Thailand

This article is conducted with the primary aim of comparing various forecasting models to identify the optimal model for forecasting the growth of the life insurance industry in Thailand. The models under consideration include the SARIMAX model, the Recurrent Neural Network (RNN), and a hybrid model introduced as RNN-SARIMAX. The dataset utilized for this investigation is extensive, consisting of monthly direct premium data from the Thai life insurance sector spanning January 2003 to December 2022. The dataset is segregated into two distinct segments. Initially, data from January 2003 to December 2021 is employed for constructing the forecasting model. Subsequently, data from January 2022 to December 2022 is utilized for a comparative analysis of the forecasting models, to determine the most suitable and accurate model for predicting the growth of the life insurance industry in Thailand. The evaluation criteria for comparing models include the Mean Absolute Percentage Error (MAPE), Root Mean Square Error (RMSE), and the Coefficient of Determination (R-squared). The consistent findings from our analysis indicate that the SARIMAX model consistently outperforms both the RNN and RNN-SARIMAX models.