Related papers: Etude du risque syst\'ematique de mortalit\'e
We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as opposed to being deterministic, and (ii.) a consumer can adapt…
The current outbreak of COVID-19 has called renewed attention to the need for sound statistical analysis for monitoring mortality patterns and trends over time. Excess mortality has been suggested as the most appropriate indicator to…
Systemic risk measures are crucial for the stability of financial markets, yet classical formulations fail to capture the complexity of market volatility. We propose a new framework for systemic risk measurement on the variable-exponent…
The main purpose of this work is to derive a partial differential equation for the reserves of life insurance liabilities subject to stochastic interest rates where the benefits and premiums depend directly on changes in the interest rate…
This paper considers the problem of forecasting mortality rates. A large number of models have already been proposed for this task, but they generally have the disadvantage of either estimating the model in a two-step process, possibly…
Recently, we have shown that the age-specific prevalence of a disease can be related to the transition rates in the illness-death model via a partial differential equation (PDE). In case of a chronic disease, we show that the PDE can be…
A robust multilevel functional data method is proposed to forecast age-specific mortality rate and life expectancy for two or more populations in developed countries with high-quality vital registration systems. It uses a robust multilevel…
Predicting the risk of death for chronic patients is highly valuable for informed medical decision-making. This paper proposes a general framework for dynamic prediction of the risk of death of a patient given her hospitalization history,…
This article presents a new model for demographic simulation which can be used to forecast and estimate the number of people in pension funds (contributors and retirees) as well as workers in a public institution. Furthermore, the model…
In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of…
This paper extends Bayesian mortality projection models for multiple populations considering the stochastic structure and the effect of spatial autocorrelation among the observations. We explain high levels of overdispersion according to…
Worldwide, many millions of people die suddenly and unexpectedly each year, either with or without a prior history of cardiovascular disease. Such events are sparse (once in a lifetime), many victims will not have had prior investigations…
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which…
The collective risk model (CRM) for frequency and severity is an important tool for retail insurance ratemaking, macro-level catastrophic risk forecasting, as well as operational risk in banking regulation. This model, which is initially…
Mortality patterns at a subnational level or across subpopulations are often used to examine the health of a population. In small populations, however, death counts are erratic. To deal with this problem, demographers have proposed…
In the aftermath of the COVID-19 pandemic, empirical data have revealed that large-scale health crises not only cause immediate disruptions in mortality dynamics but also have persistent effects that may last for several years. Existing…
We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the…
The need for control strategies that can address dynamic system uncertainty is becoming increasingly important. In this work, we propose a Model Predictive Control by quantifying the risk of failure in our system model. The proposed control…
Mortality forecasting plays a pivotal role in insurance and financial risk management of life insurers, pension funds, and social securities. Mortality data is usually high-dimensional in nature and favors factor model approaches to…
Structuring a viable pension plan is a problem that arises in the study of financial contracts pricing and bears special importance these days. Deterministic pension models often rely on projections that are based on several assumptions…