Related papers: Quantifying mortality risk in small defined-benefi…

It is well known that quantile regression model minimizes the portfolio extreme risk, whenever the attention is placed on the estimation of the response variable left quantiles. We show that, by considering the entire conditional…

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…

We pose the decumulation strategy for a Defined Contribution (DC) pension plan as a problem in optimal stochastic control. The controls are the withdrawal amounts and the asset allocation strategy. We impose maximum and minimum constraints…

As life expectancy in Kenya increases, so does the need for efficient pension schemes that can secure a dignified retirement and protect members from old age poverty. Limited research, however, has explored the efficiency of these schemes…

As the developed world replaces Defined Benefit (DB) pension plans with Defined Contribution (DC) plans, there is a need to develop decumulation strategies for DC plan holders. Optimal decumulation can be viewed as a problem in optimal…

Risk contributions of portfolios form an indispensable part of risk adjusted performance measurement. The risk contribution of a portfolio, e.g., in the Euler or Aumann-Shapley framework, is given by the partial derivatives of a risk…

In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component…

We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero…

This paper studies the optimal investment problem for a hybrid pension plan under model uncertainty, where both the contribution and the benefit are adjusted depending on the performance of the plan. Furthermore, an age and time-dependent…

The efficiency of pension schemes in Kenya invites elevated interest owing to the increasing pension contribution amounts and the expectation that benefits paid out of these schemes would protect members from old age poverty. The study…

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…

Despite the fact that the Euler allocation principle has been adopted by many financial institutions for their internal capital allocation process, a comprehensive description of Euler allocation seems still to be missing. We try to fill…

Elderly ICU patients with coexisting diabetes mellitus and heart failure experience markedly elevated short-term mortality, yet few predictive models are tailored to this high-risk group. Diabetes mellitus affects nearly 30% of U.S. adults…

Flexibility of energy consumption can be harnessed for the purposes of ancillary services in a large power grid. In prior work by the authors a randomized control architecture is introduced for individual loads for this purpose. In examples…

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…

Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…

\noindent The modal age at death is an increasingly used measure for understanding longevity and mortality patterns. However, existing estimation methods focus on point estimates, overlooking the inherent variability and uncertainty in…

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…

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…

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…