Related papers: A State-Space Estimation of the Lee-Carter Mortali…
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a…
We study the problem of pricing variable annuities with a multi-layer expense strategy, under which the insurer charges fees from the policyholder's account only when the account value lies in some pre-specified disjoint intervals, where on…
This paper investigates the valuation of variable annuity contracts with an early surrender option under non-Markovian models. Moreover, policyholders are provided with guaranteed minimum maturity and death benefits to protect against the…
As sequential neural architectures become deeper and more complex, uncertainty estimation is more and more challenging. Efforts in quantifying uncertainty often rely on specific training procedures, and bear additional computational costs…
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…
Age-specific mortality rates are often disaggregated by different attributes, such as sex, state, ethnic group and socioeconomic status. In making social policies and pricing annuity at national and subnational levels, it is important not…
This research explores how total mortality figures relate to age-standardized death rates within the United States, using the complete historical record of national mortality statistics. Through a detailed investigation of both all-cause…
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov…
In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of…
The stochastic system approach to causality is applied to situations where the risk of death is not negligible. This approach grounds causality on physical laws, distinguishes system and observation and represents the system by multivariate…
Like density functions, period life-table death counts are nonnegative and have a constrained integral, and thus live in a constrained nonlinear space. Implementing established modelling and forecasting methods without obeying these…
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…
Continuous-time multi-state survival models can be used to describe health-related processes over time. In the presence of interval-censored times for transitions between the living states, the likelihood is constructed using transition…
In this paper we investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valued parameters via inhomogeneous phase-type distributions can…
In this paper, we are concerned with the valuation of Guaranteed Annuity Options (GAOs) under the most generalised modelling framework where both interest and mortality rates are stochastic and correlated. Pricing these type of options in…
Fairness-aware statistical learning is essential for mitigating discrimination against protected attributes such as gender, race, and ethnicity in data-driven decision-making. This is particularly critical in high-stakes applications like…
Various stochastic models have been proposed to estimate mortality rates. In this paper we illustrate how machine learning techniques allow us to analyze the quality of such mortality models. In addition, we present how these techniques can…
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…
A retention strategy based on an enlightened lapse model is a powerful profitabilitylever for a life insurer. Some machine learning models are excellent at predicting lapse,but from the insurer's perspective, predicting which policyholder…
To analyze and project age-specific mortality or morbidity rates age-period-cohort (APC) models are very popular. Bayesian approaches facilitate estimation and improve predictions by assigning smoothing priors to age, period and cohort…