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

This paper addresses the risk-minimization problem, with and without mortality securitization, \`a la F\"ollmer-Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework…

Stroke is a major cause of mortality and long--term disability in the world. Predictive outcome models in stroke are valuable for personalized treatment, rehabilitation planning and in controlled clinical trials. In this paper we design a…

In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned with abnormal cohort effects such as those for generations 1919…

Several approaches have been developed for forecasting mortality using the stochastic model. In particular, the Lee-Carter model has become widely used and there have been various extensions and modifications proposed to attain a broader…

Accurate forecasts of weekly mortality are essential for public health and the insurance industry. We develop a forecasting framework that extends the Lee-Carter model with age- and region-specific seasonal effects and penalized distributed…

Widespread population aging has made it critical to understand death rates at old ages. However, studying mortality at old ages is challenging because the data are sparse: numbers of survivors and deaths get smaller and smaller with age. We…

The gradual accumulation of damage and dysregulation during the aging of living organisms can be quantified. Even so, the aging process is complex and has multiple interacting physiological scales -- from the molecular to cellular to whole…

In this paper, we provide a comprehensive cross-country validation study of compositional mortality modeling and forecasting methods. Thus, we consider two one-to-one transformations: the cumulative distribution function and the centered…

We consider a compositional data analysis approach to forecasting the age distribution of death counts. Using the age-specific period life-table death counts in Australia obtained from the Human Mortality Database, the compositional data…

For the assessment of the financial soundness of a pension fund, it is necessary to take into account mortality forecasting so that longevity risk is consistently incorporated into future cash flows. In this article, we employ machine…

We propose a Bayesian network model to make inferences and predictions about cardiovascular risk. Both the structure and the probability tables in the underlying model are built using a large dataset collected in Spain from annual work…

This article describes a method to estimate the mortality rate ratio R from current status data with duration in a chronic condition in case the general mortality of the overall population is known. Apart from the general mortality, the…

Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors in factor models are defined as time-related mortality indices (such as $\kappa_t$ in the…

The concept of random deaths in a computational model for population dynamics is critically examined. We claim that it is just an artifact, albeit useful, of computational models to limit the size of the populations and has no biological…

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide…

The last two centuries have seen a significant increase in life expectancy. Although past trends suggest that mortality will continue to decline in the future, uncertainty and instability about the development is greatly increased due to…

This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the…

Joint models initially dedicated to a single longitudinal marker and a single time-to-event need to be extended to account for the rich longitudinal data of cohort studies. Multiple causes of clinical progression are indeed usually…

There have been significant efforts devoted to solving the longevity risk given that a continuous growth in population ageing has become a severe issue for many developed countries over the past few decades. The Cairns-Blake-Dowd (CBD)…

The predictiveness curve is a valuable tool for predictive evaluation, risk stratification, and threshold selection in a target population, given a single biomarker or a prediction model. In the presence of competing risks, regression…