Related papers: Mortality data reliability in an internal model

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 paper we explore the life expectancy limits by based on the stochastic modeling of mortality and applying the first exit or hitting time theory of a stochastic process. The main assumption is that the health state or the "vitality",…

\noindent The modal age at death is an increasingly used measure for understanding longevity and mortality patterns. However, existing estimation methods focus on point estimates, overlooking the inherent variability and uncertainty in…

We investigate the quantification of demographic risk in a framework consistent with the market-consistent valuation imposed by Solvency II. We provide compact formulas for evaluating inflows and outflows of a portfolio of insurance…

In many countries life expectancy gains have been substantially higher than predicted by even recent forecasts. This is primarily due to increasing rates of improvement in old-age mortality not captured by existing models. In this paper we…

The EU Solvency II directive recommends insurance companies to pay more attention to the risk management methods. The sense of risk management is the ability to quantify risk and apply methods that reduce uncertainty. In life insurance, the…

The last two centuries have seen a significant increase in life expectancy. Although past trends suggest that mortality will continue to decline in the future, uncertainty and instability about the development is greatly increased due to…

Reliable mortality estimates at the subnational level are essential in the study of health inequalities within a country. One of the difficulties in producing such estimates is the presence of small populations, where the stochastic…

This article presents a stochastic framework to quantify the biometric risk of an insurance portfolio in solvency regimes such as Solvency II or the Swiss Solvency Test (SST). The main difficulty in this context constitutes in the proper…

Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss…

In the aftermath of the COVID-19 pandemic, empirical data have revealed that large-scale health crises not only cause immediate disruptions in mortality dynamics but also have persistent effects that may last for several years. Existing…

Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener…

Age-specific mortality improvements are non-uniform, neither across ages nor across time. We propose a two-step procedure to estimate the rates of mortality improvement (RMI) in age-specific death rates (ASDR) at ages 85 and above for ten…

The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic…

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,…

A robust multilevel functional data method is proposed to forecast age-specific mortality rate and life expectancy for two or more populations in developed countries with high-quality vital registration systems. It uses a robust multilevel…

Undoubtedly, several countries worldwide endure to experience a continuous increase in life expectancy, extending the challenges of life actuaries and demographers in forecasting mortality. Although several stochastic mortality models have…

We propose a probabilistic mortality forecasting model that can be applied to derive forecasts for populations with regular and irregular mortality developments. Our model (1) uses rates of mortality improvement to model dynamic age…

Mortality patterns at a subnational level or across subpopulations are often used to examine the health of a population. In small populations, however, death counts are erratic. To deal with this problem, demographers have proposed…

In mortality modelling, cohort effects are often taken into consideration as they add insights about variations in mortality across different generations. Statistically speaking, models such as the Renshaw-Haberman model may provide a…