Related papers: Grouped multivariate and functional time series fo…
Conformal Prediction offers a powerful framework for quantifying uncertainty in machine learning models, enabling the construction of prediction sets with finite-sample validity guarantees. While easily adaptable to non-probabilistic…
The decline in interest rates and economic stabilization has heightened the importance of accurate mortality rate forecasting, particularly in insurance and pension markets. Multi-step-ahead predictions are crucial for public health,…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
Prediction of mortality in intensive care unit (ICU) patients typically relies on black box models (that are unacceptable for use in hospitals) or hand-tuned interpretable models (that might lead to the loss in performance). We aim to…
This paper aims to develop practical applications of the model for the highly technical measure-valued populations developed by the authors in \cite{FanEtal20}. We consider the problem of estimation of parameters in the general age and…
The age pension aims to assist eligible elderly Australians meet specific age and residency criteria in maintaining basic living standards. In designing efficient pension systems, government policymakers seek to satisfy the expectations of…
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…
Shang and Hyndman (2017) proposed a grouped functional time series forecasting approach as a combination of individual forecasts obtained using generalized least squares method. We modify their methodology using generalized exponential…
In human face-based biometrics, gender classification and age estimation are two typical learning tasks. Although a variety of approaches have been proposed to handle them, just a few of them are solved jointly, even so, these joint methods…
Physics-based climate projections using general circulation models are essential for assessing future risks, but their coarse resolution limits regional decision-making. Statistical downscaling can efficiently add detail, yet many methods…
Accurate temporal prediction is the bridge between comprehensive scene understanding and embodied artificial intelligence. However, predicting multiple fine-grained states of a scene at multiple temporal scales is difficult for…
Time series of counts arise in a variety of forecasting applications, for which traditional models are generally inappropriate. This paper introduces a hierarchical Bayesian formulation applicable to count time series that can easily…
The focus of the present paper is to forecast mortality rates for small sub-populations that are parts of a larger super-population. In this setting the assumption is that it is possible to produce reliable forecasts for the…
Semiconductor devices, especially MOSFETs (Metal-oxide-semiconductor field-effect transistor), are crucial in power electronics, but their reliability is affected by aging processes influenced by cycling and temperature. The primary aging…
Multifractality is one of the patterns observed in spatial distributions of populations. In this study, we performed multifractal analysis for populations by age group in the capital area of Japan. Each population group generally exhibited…
Accuracy in fertility forecasting has proved challenging and warrants renewed attention. One way to improve accuracy is to combine the strengths of a set of existing models through model averaging. The model-averaged forecast is derived…
Many insurance products and pension plans provide benefits which are related to couples, and thus under influence of the survival status of two lives. Some studies show the future lifetime of couples is correlated. Three reasons are…
Finite Gaussian mixture models provide a powerful and widely employed probabilistic approach for clustering multivariate continuous data. However, the practical usefulness of these models is jeopardized in high-dimensional spaces, where…
Application of some basic notions and statistics of ageing distributions used in mathematical theory of reliability including the Gini-type index is discussed as a methodological tool for investigation of human population ageing and…
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…