Related papers: A simple model of mortality trends aiming at unive…

Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under…

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…

This paper analyzes birth cohort effects and develops an approach which is based on differential geometry to identify and measure cohort effects in mortality data sets. The measurement is quantitative and provides a potential method to…

In mortality modelling, cohort effects are often taken into consideration as they add insights about variations in mortality across different generations. Statistically speaking, models such as the Renshaw-Haberman model may provide a…

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…

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)…

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…

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,…

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 analyzes mortality cohort effect of birth year and develops an approach to identify and measure cohort effects in mortality data set. The approach is based on differential geometry and leads to an explicit result which can…

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…

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 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 predominant way of modelling mortality rates is the Lee-Carter model and its many extensions. The Lee-Carter model and its many extensions use a latent process to forecast. These models are estimated using a two-step procedure that…

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…

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…

A linear mixed-effects (LME) model is proposed for modelling and forecasting single and multi-population age-specific death rates (ASDRs). The innovative approach that we take in this study treats age, the interaction between gender and…

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…

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…

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.…