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We propose a probabilistic mortality forecasting model that can be applied to derive forecasts for populations with regular and irregular mortality developments. Our model (1) uses rates of mortality improvement to model dynamic age…
We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our…
We study actuarial fairness in China's notional defined contribution (NDC) pension system when mortality differs across income groups. Under current rules, individual account balances are converted into monthly benefits using an official…
In the aftermath of the COVID-19 pandemic, empirical data have revealed that large-scale health crises not only cause immediate disruptions in mortality dynamics but also have persistent effects that may last for several years. Existing…
We use life annuity prices to extract information about human longevity using a framework that links the term structure of mortality and interest rates. We invert the model and perform nonlinear least squares to obtain implied longevity…
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…
\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…
In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned with abnormal cohort effects such as those for generations 1919…
Bayesian analysis of state-space models includes computing the posterior distribution of the system's parameters as well as filtering, smoothing, and predicting the system's latent states. When the latent states wander around $\mathbb{R}^n$…
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and…
Accurate mortality modeling is central to actuarial science and public health, especially as mental health emerges as a significant factor in population outcomes. This paper develops and applies a Bayesian hierarchical model to analyze U.S.…
Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…
In this paper, we provide a comprehensive cross-country validation study of compositional mortality modeling and forecasting methods. Thus, we consider two one-to-one transformations: the cumulative distribution function and the centered…
This paper extends Bayesian mortality projection models for multiple populations considering the stochastic structure and the effect of spatial autocorrelation among the observations. We explain high levels of overdispersion according to…
Widespread population aging has made it critical to understand death rates at old ages. However, studying mortality at old ages is challenging because the data are sparse: numbers of survivors and deaths get smaller and smaller with age. We…
Traditional multi-population models, such as the Li-Lee framework, rely on the assumption of mean-reverting country-specific deviations. However, recent data from high-longevity clusters suggest a systemic break in this paradigm. We…
Extant literature on fair pricing methods for actuarial contexts has primarily focused on the regression setting. While such approaches are well-suited to short-term products, it is unclear how they generalize to long-term products, whose…
The paper studies pricing of insurance products focusing on the pricing of annuities under uncertainty. This pricing problem is crucial for financial decision making and was studied intensively, however, many open questions still remain. In…
Climate change poses increasing challenges for mortality modeling and underscores the need to integrate climate-related variables into mortality forecasting. This study introduces a two-step approach that incorporates climate information…
The current outbreak of COVID-19 has called renewed attention to the need for sound statistical analysis for monitoring mortality patterns and trends over time. Excess mortality has been suggested as the most appropriate indicator to…