Related papers: Etude du risque syst\'ematique de mortalit\'e

The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic…

The EU Solvency II directive recommends insurance companies to pay more attention to the risk management methods. The sense of risk management is the ability to quantify risk and apply methods that reduce uncertainty. In life insurance, the…

The aim of this paper is to study the construction of prospective mortality tables from a low number of persons subjected to risk. The presented models are the Lee-Carter and log-Poisson methods respectively. The low number of people…

This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…

This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retirement, but also within the interim periods. In contrast to…

In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…

In many countries life expectancy gains have been substantially higher than predicted by even recent forecasts. This is primarily due to increasing rates of improvement in old-age mortality not captured by existing models. In this paper we…

This paper presents an approach to incorporate mortality shocks into mortality projections produced by a stochastic multi-population mortality model. The proposed model combines a decreasing stochastic mortality trend with a…

Undoubtedly, several countries worldwide endure to experience a continuous increase in life expectancy, extending the challenges of life actuaries and demographers in forecasting mortality. Although several stochastic mortality models have…

We propose a probabilistic mortality forecasting model that can be applied to derive forecasts for populations with regular and irregular mortality developments. Our model (1) uses rates of mortality improvement to model dynamic age…

This work proposes a method for modeling and forecasting mortality rates. It constitutes an improvement over previous studies by incorporating both the historical evolution of the mortality phenomenon and its random behavior. In the first…

The improvement of mortality projection is a pivotal topic in the diverse branches related to insurance, demography, and public policy. Motivated by the thread of Lee-Carter related models, we propose a Bayesian model to estimate and…

A new stochastic method for describing mortality is proposed and explored. It is based on differences of observed times series of the transform $\log(-\log x)$ of survival probabilities which seem to follow simple patterns over the years.…

This paper examines several computer algorithms designed to assess mortality and longevity risk.

An essential input of annuity pricing is the future retiree mortality. From observed age-specific mortality data, modeling and forecasting can be taken place in two routes. On the one hand, we can first truncate the available data to…

\noindent The modal age at death is an increasingly used measure for understanding longevity and mortality patterns. However, existing estimation methods focus on point estimates, overlooking the inherent variability and uncertainty in…

The Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that model cohort effects but there is no…

Various stochastic models have been proposed to estimate mortality rates. In this paper we illustrate how machine learning techniques allow us to analyze the quality of such mortality models. In addition, we present how these techniques can…

We study the effects of non-systematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the…

In this paper we explore the life expectancy limits by based on the stochastic modeling of mortality and applying the first exit or hitting time theory of a stochastic process. The main assumption is that the health state or the "vitality",…