Related papers: Etude du risque syst\'ematique de mortalit\'e
Multiple species in the ecosystem are believed to compete cyclically for survival and thus maintain balance in nature. Stochasticity has also an inevitable role in this dynamics. Considering these attributes of nature, the stochastic…
The risk of dying increases exponentially with age, in humans as well as in many other species. This increase is often attributed to the "accumulation of damage" known to occur in many biological structures and systems. The aim of this…
This article presents a stochastic framework to quantify the biometric risk of an insurance portfolio in solvency regimes such as Solvency II or the Swiss Solvency Test (SST). The main difficulty in this context constitutes in the proper…
This paper considers a proportional hazards model, which allows one to examine the extent to which covariates interact nonlinearly with an exposure variable, for analysis of lifetime data. A local partial-likelihood technique is proposed to…
We propose a joint model for a time-to-event outcome and a quantile of a continuous response repeatedly measured over time. The quantile and survival processes are associated via shared latent and manifest variables. Our joint model…
Inspired by widely-used techniques of causal modelling in risk, failure, and accident analysis, this work discusses a compositional framework for risk modelling. Risk models capture fragments of the space of risky events likely to occur…
In survival studies it is important to record the values of key longitudinal covariates until the occurrence of event of a subject. For this reason, it is essential to study the association between longitudinal and time-to-event outcomes…
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The…
We investigate the extent to which groups with elevated mortality rates ex ante might opt out of guaranteed national pensions in favour of demographically aligned plans, which we label equitable longevity risk sharing (ELRiS) pools, even if…
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…
Recently we developed a new framework in Hirz et al (2015) to model stochastic mortality using extended CreditRisk$^+$ methodology which is very different from traditional time series methods used for mortality modelling previously. In this…
The approach of causality based on physical laws and systems is revisited. The issue of "levels", the relevance to epidemiology and the definition of effects are particularly developed. Moreover it is argued that this approach that we call…
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality.…
Combining efficient and safe control for safety-critical systems is challenging. Robust methods may be overly conservative, whereas probabilistic controllers require a trade-off between efficiency and safety. In this work, we propose a…
The Makeham term is a crucial element in mortality modeling, representing a constant additive hazard that addresses background mortality factors unrelated to aging. Widely used in mortality analysis, this term enables the capture of risks…
The determination of the shapes of mortality curves, the estimation and projection of mortality patterns over time, and the investigation of differences in mortality patterns across different small underdeveloped populations have received…
This paper introduces a neural network approach for fitting the Lee-Carter and the Poisson Lee-Carter model on multiple populations. We develop some neural networks that replicate the structure of the individual LC models and allow their…
The focus of the present paper is to forecast mortality rates for small sub-populations that are parts of a larger super-population. In this setting the assumption is that it is possible to produce reliable forecasts for the…
We provide forecasts for mortality rates by using two different approaches. First we employ dynamic non-linear logistic models based on Heligman-Pollard formula. Second, we assume that the dynamics of the mortality rates can be modelled…
Age-specific life-table death counts observed over time are examples of densities. Non-negativity and summability are constraints that sometimes require modifications of standard linear statistical methods. The centered log-ratio…