Related papers: A State-Space Estimation of the Lee-Carter Mortali…

One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatility models written in forward variance form. We also deal…

This paper presents an approach to incorporate mortality shocks into mortality projections produced by a stochastic multi-population mortality model. The proposed model combines a decreasing stochastic mortality trend with a…

In this work we present a spatial approach to model and investigate mortality data referenced over a Lexis structure. We decompose the force of mortality into two interpretable components: a Markov random field, smooth with respect to time,…

In this paper, we study the exponential utility indifference pricing of pure endowment policies within a stochastic-factor model for an insurer who also invests in a financial market. Our framework incorporates a hazard rate modeled as an…

This paper presents a novel approach for modeling mortality rates above age 70 by proposing a mixture-based model. This model is compared to four other widely used models: the Beard, Gompertz, Makeham, and Perks models. Our model can…

We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…

Aoristic data can be described by a marked point process in time in which the points cannot be observed directly but are known to lie in observable intervals, the marks. We consider Bayesian state estimation for the latent points when the…

We consider a conditional factor model for a multivariate portfolio of United States equities in the context of analysing a statistical arbitrage trading strategy. A state space framework underlies the factor model whereby asset returns are…

This paper addresses the risk-minimization problem, with and without mortality securitization, \`a la F\"ollmer-Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework…

Epidemiological investigations of regionally aggregated spatial data often involve detecting spatial health disparities among neighboring regions on a map of disease mortality or incidence rates. Analyzing such data introduces spatial…

This work introduces a Bayesian smoothing approach for the joint graduation of mortality rates across multiple populations. In particular, dynamical linear models are used to induce smoothness across ages through structured dependence,…

We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the…

We derive a general multiple state model for critical illness insurances. In contrast to the classical model, we take into account that the probability of death for a dread disease sufferer may depend on the duration of the disease, and the…

Machine learning models that aim to predict dementia onset usually follow the classification methodology ignoring the time until an event happens. This study presents an alternative, using survival analysis within the context of machine…

High-frequency mortality data have attracted growing attention, but their use has largely been confined to specific applications rather than general modelling and forecasting. Such data pose new challenges to traditional mortality models…

We propose a state-space model (SSM) for commodity prices that combines the competitive storage model with a stochastic trend. This approach fits into the economic rationality of storage decisions, and adds to previous deterministic trend…

Capturing the inter-dependencies among multiple types of clinically-critical events is critical not only to accurate future event prediction, but also to better treatment planning. In this work, we propose a deep latent state-space…

A common goal in modeling demographic rates is to compare two or more groups. For ex- ample comparing mortality rates between men and women or between geographic regions may reveal health inequalities. A popular class of models for…

We propose and estimate a model of demand and supply of annuities. To this end, we use rich data from Chile, where annuities are bought and sold in a private market via a two-stage process: first-price auctions followed by bargaining. We…

In order to implement disease-specific interventions in young age groups, policy makers in low- and middle-income countries require timely and accurate estimates of age- and cause-specific child mortality. High quality data is not available…