Related papers: Quantifying mortality risk in small defined-benefi…
Using unique research data, we investigate disability retirement risk under the statutory public sector pension scheme in Finland. The statistical analysis yields two indicators: risk for upcoming permanent disability pension and critical…
In studies of recurrent events, joint modeling approaches are often needed to allow for potential dependent censoring by a terminal event such as death. Joint frailty models for recurrent events and death with an additional dependence…
Accurate modeling of operational risk is important for a bank and the finance industry as a whole to prepare for potentially catastrophic losses. One approach to modeling operational is the loss distribution approach, which requires a bank…
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…
In healthcare, predictive models increasingly inform patient-level decisions, yet little attention is paid to the variability in individual risk estimates and its impact on treatment decisions. For overparameterized models, now standard in…
Progression of chronic disease is often manifested by repeated occurrences of disease-related events over time. Delineating the heterogeneity in the risk of such recurrent events can provide valuable scientific insight for guiding…
To quantify an operational risk capital charge under Basel II, many banks adopt a Loss Distribution Approach. Under this approach, quantification of the frequency and severity distributions of operational risk involves the bank's internal…
Electronic health records (EHR) are characterized as non-stationary, heterogeneous, noisy, and sparse data; therefore, it is challenging to learn the regularities or patterns inherent within them. In particular, sparseness caused mostly by…
When simulating a complex stochastic system, the behavior of output response depends on input parameters estimated from finite real-world data, and the finiteness of data brings input uncertainty into the system. The quantification of the…
This research presents an analysis of the demographic risk related to future membership patterns in pension funds with restricted entrance, financed under a pay-as-you-go scheme. The paper, therefore, proposes a stochastic model for…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
Background: Stroke is second-leading cause of disability and death among adults. Approximately 17 million people suffer from a stroke annually, with about 85% being ischemic strokes. Predicting mortality of ischemic stroke patients in…
In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Inflation risk is introduced in this paper and the financial…
Various types of structures that enable a group of individuals to pool their mortality risk have been proposed in the literature. Collectively, the structures are called pooled annuity funds. Since the pooled annuity funds propose different…
The stability of income payments in a pooled annuity fund is studied. In those funds, members receive a fluctuating income depending on their experienced mortality in exchange for their pension savings. The focus is on describing the…
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…
We employ stochastic dynamic microsimulations to analyse and forecast the pension cost dependency ratio for England and Wales from 1991 to 2061, evaluating the impact of the ongoing state pension reforms and changes in international…
Computers may control safety-critical operations in machines having embedded software. This memoir proposes a regimen to verify such algorithms at prescribed levels of statistical confidence. The United States Department of Defense standard…