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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…
Importance: Following a century of increase, life expectancy in the United States has stagnated and begun to decline in recent decades. Using satellite images and street view images prior work has demonstrated associations of the built…
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…
Quantifying the number of deaths caused by the COVID-19 crisis has been an ongoing challenge for scientists, and no golden standard to do so has yet been established. We propose a principled approach to calculate age-adjusted yearly excess…
This study presents a framework for high-resolution mortality simulations tailored to insured and general populations. Due to the scarcity of detailed demographic-specific mortality data, we leverage Iterative Proportional Fitting (IPF) and…
To pricing health insurance plan, statisticians use mathematical models to predict customers' future health condition. General Addictive Model (GAM) is a wide accepted method for this problem. However, it have several limitations. To solve…
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…
There has been growing interest on forecasting mortality. In this article, we propose a novel dynamic Bayesian approach for modeling and forecasting the age-at-death distribution, focusing on a three-components mixture of a Dirac mass, a…
We propose a generalization of the linear panel quantile regression model to accommodate both \textit{sparse} and \textit{dense} parts: sparse means while the number of covariates available is large, potentially only a much smaller number…
This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retirement, but also within the interim periods. In contrast to…
We examine US County-level observational data on Lung Cancer mortality rates in 2012 and overall Circulatory Respiratory mortality rates in 2016 as well as their "Top Ten" potential causes from Federal or State sources. We find that these…
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…
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…
A widely-used model for determining the long-term health impacts of public health interventions, often called a "multistate lifetable", requires estimates of incidence, case fatality, and sometimes also remission rates, for multiple…
In this paper, we develop an expected utility model for the retirement behavior in the decumulation phase of Australian retirees with sequential family status subject to consumption, housing, investment, bequest and government provided…
Ageing's sensitivity to natural selection has long been discussed because of its apparent negative effect on individual's fitness. Thanks to the recently described (Smurf) 2-phase model of ageing we were allowed to propose a fresh angle for…
End-stage renal disease has many adverse complications associated with it leading to 20-50% higher mortality rates in people than those without the disease. This makes it one of the leading causes of death in the United States. This article…
This article proposes a spatial dynamic structural equation model for the analysis of housing prices at the State level in the USA. The study contributes to the existing literature by extending the use of dynamic factor models to the…
We propose a novel methodology to quantify the effect of stochastic interventions on non-terminal time-to-events that lie on the pathway between an exposure and a terminal time-to-event outcome. Investigating these effects is particularly…
This paper presents an application of Generalized Estimating Equations (GEE) for analyzing age-specific death rates (ASDRs), constituting a longitudinal dataset with repeated measurements over time. GEE models, known for their robustness in…