Related papers: A State-Space Estimation of the Lee-Carter Mortali…
Excess mortality, i.e. the difference between expected and observed mortality, is used to quantify the death toll of mortality shocks, such as infectious disease-related epidemics and pandemics. However, predictions of expected mortality…
This study investigated the performance, explainability, and robustness of deployed artificial intelligence (AI) models in predicting mortality during the COVID-19 pandemic and beyond. The first study of its kind, we found that Bayesian…
While abundant empirical studies support the long-range dependence (LRD) of mortality rates, the corresponding impact on mortality securities are largely unknown due to the lack of appropriate tractable models for valuation and risk…
Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future…
This paper reports results of a network theory approach to the study of the United States patent system. We model the patent citation network as a discrete time, discrete space stochastic dynamic system. From data on more than 2 million…
The task of state estimation in active distribution systems faces a major challenge due to the integration of different measurements with multiple reporting rates. As a result, distribution systems are essentially unobservable in real time,…
Reliability analysis is a sub-field of uncertainty quantification that assesses the probability of a system performing as intended under various uncertainties. Traditionally, this analysis relies on deterministic models, where experiments…
Although the analysis of human mortality has a well-established history, the attempt to accurately forecast future death-rate patterns for different age groups and time horizons still attracts active research. Such a predictive focus has…
Evidence shows that the labor participation rate of retirement age cohorts is non-negligible, and it is a widespread phenomenon globally. In the United States, the labor force participation rate for workers age 75 and older is projected to…
The collective risk model (CRM) for frequency and severity is an important tool for retail insurance ratemaking, macro-level catastrophic risk forecasting, as well as operational risk in banking regulation. This model, which is initially…
State-space models have been used in many applications, including econometrics, engineering, medical research, etc. The maximum likelihood estimation (MLE) of the static parameter of general state-space models is not straightforward because…
Introduction Lifetime risks quantify health risks from radiation exposure and play an important role in radiation detriment and radon dose conversion. This study considers the lifetime risk of dying from lung cancer related to occupational…
We employ stochastic dynamic microsimulations to analyse and forecast the pension cost dependency ratio for England and Wales from 1991 to 2061, evaluating the impact of the ongoing state pension reforms and changes in international…
Smoking is one of the preventable threats to human health and is a major risk factor for lung cancer, upper aero-digestive cancer, and chronic obstructive pulmonary disease. Estimating and forecasting the smoking attributable fraction (SAF)…
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the…
We forecast S&P 500 excess returns using a flexible Bayesian econometric state space model with non-Gaussian features at several levels. More precisely, we control for overparameterization via novel global-local shrinkage priors on the…
Data used in stock assessment models result from combinations of biological, ecological, fishery, and sampling processes. Since different types of errors propagate through these processes it can be difficult to identify a particular family…
We consider the pricing of variable annuities (VAs) with general fee structures under popular stochastic volatility models such as Heston, Hull-White, Scott, $\alpha$-Hypergeometric, $3/2$, and $4/2$ models. In particular, we analyze the…
This article proposes an age-structured compartment model for irreversible diseases with a pre-clinical state of undiagnosed cases that precedes the diagnosis. The model is able to cope with mortality rates differing between the…
This work proposes a method for modeling and forecasting mortality rates. It constitutes an improvement over previous studies by incorporating both the historical evolution of the mortality phenomenon and its random behavior. In the first…