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

This study presents a framework for high-resolution mortality simulations tailored to insured and general populations. Due to the scarcity of detailed demographic-specific mortality data, we leverage Iterative Proportional Fitting (IPF) and…

Separate modelling of cause specific mortality rates and their projections can yield inconsistent forecasts when the sum of deaths by cause does not match the total observed in a population. We develop a hierarchical probabilistic framework…

The stochastic system approach to causality is applied to situations where the risk of death is not negligible. This approach grounds causality on physical laws, distinguishes system and observation and represents the system by multivariate…

A risk of small defined-benefit pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to effectively pool mortality risk. This means that when there are few members in…

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov…

We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance…

Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate…

The BayesMortalityPlus package provides a framework for modelling and predicting mortality data. The package includes tools for the construction of life tables based on Heligman-Pollard laws, and also on dynamic linear smoothers.…

We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation of expected values of nonlinear functionals of…

Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss…

Multi-state models provide an extension of the usual survival/event-history analysis setting. In the medical domain, multi-state models give the possibility of further investigating intermediate events such as relapse and remission. In this…

In this paper we investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valued parameters via inhomogeneous phase-type distributions can…

Risk prediction is central to both clinical medicine and public health. While many machine learning models have been developed to predict mortality, they are rarely applied in the clinical literature, where classification tasks typically…

This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a…

The significance of mortality modeling extends across multiple research areas, ranging from life insurance valuation to optimal lifetime decision-making. Existing approaches, such as mortality laws and factor-based models, often fall short…

This paper extends the Lee-Carter model for single- and multi-populations to account for pandemic jump effects of vanishing kind, allowing for a more comprehensive and accurate representation of mortality rates during a pandemic,…

Retirement prediction helps individuals and institutions make informed financial, lifestyle, and workforce decisions based on estimated retirement portfolios. This paper attempts to predict retirement using Monte Carlo simulations, allowing…

Using unique research data, we investigate disability retirement risk under the statutory public sector pension scheme in Finland. The statistical analysis yields two indicators: risk for upcoming permanent disability pension and critical…

Forecasts of mortality provide vital information about future populations, with implications for pension and health-care policy as well as for decisions made by private companies about life insurance and annuity pricing. Stochastic…

Reliable mortality estimates at the subnational level are essential in the study of health inequalities within a country. One of the difficulties in producing such estimates is the presence of small populations, where the stochastic…