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Illness-death models are a class of stochastic models inside the multi-state framework. In those models, individuals are allowed to move over time between different states related to illness and death. They are of special interest when…
Mortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing…
This paper addresses the problem of determining the optimal time for an individual to convert retirement savings into a lifetime annuity. The individual invests their wealth into a dividend-paying fund that follows the dynamics of a…
We develop a theory for pricing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified…
Competing risks occur in survival analysis when multiple causes of death are present. They play a prominent role in several domains extending beyond biostatistics to encompass epidemiology, actuarial sciences, and reliability theory. This…
In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic…
As cancer patient survival improves, late effects from treatment are becoming the next clinical challenge. Chemotherapy and radiotherapy, for example, potentially increase the risk of both morbidity and mortality from second malignancies…
One of the most enticing research areas is the stock market, and projecting stock prices may help investors profit by making the best decisions at the correct time. Deep learning strategies have emerged as a critical technique in the field…
There have been significant efforts devoted to solving the longevity risk given that a continuous growth in population ageing has become a severe issue for many developed countries over the past few decades. The Cairns-Blake-Dowd (CBD)…
Effective quantification of uncertainty is an essential and still missing step towards a greater adoption of deep-learning approaches in different applications, including mission-critical ones. In particular, investigations on the…
Model averaging techniques in the actuarial literature aim to forecast future longevity appropriately by combining forecasts derived from various models. This approach often yields more accurate predictions than those generated by a single…
A stochastic genetic model for biological aging is introduced bridging the gap between the bit-string Penna model and the Pletcher-Neuhauser approach. The phenomenon of exponentially increasing mortality function at intermediate ages and…
Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate stochastic framework based on mixed fractional Brownian…
Separate modelling of cause specific mortality rates and their projections can yield inconsistent forecasts when the sum of deaths by cause does not match the total observed in a population. We develop a hierarchical probabilistic framework…
We consider the problem of optimal annuitization with labour income, where an agent aims to maximize utility from consumption and labour income under age-dependent force of mortality. Using a dynamic programming approach, we derive…
It is well-known that combining life annuities and death benefits introduce opposite effects in payments with respect to the mortality risk on the lifetime of the insured. In a general multi-state framework with multiple product types, such…
The decision to annuitize wealth in retirement planning has become increasingly complex due to rising longevity risk and changing retirement patterns, including increased labor force participation at older ages. While an extensive…
We provide forecasts for mortality rates by using two different approaches. First we employ dynamic non-linear logistic models based on Heligman-Pollard formula. Second, we assume that the dynamics of the mortality rates can be modelled…
We introduce a square lattice into the Penna bit-string model for biological ageing and study the evolution of the spatial distribution of the population considering different strategies of child-care. Two of the strategies are related to…
Geographic patterns in stroke mortality have been studied as far back as the 1960s, when a region of the southeastern United States became known as the "stroke belt" due to its unusually high rates of stroke mortality. While stroke…