Related papers: Mortality data reliability in an internal model

Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate…

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…

A new stochastic method for describing mortality is proposed and explored. It is based on differences of observed times series of the transform $\log(-\log x)$ of survival probabilities which seem to follow simple patterns over the years.…

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…

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)…

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…

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 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…

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…

Understanding patterns in mortality across subpopulations is essential for local health policy decision making. One of the key challenges of subnational mortality rate estimation is the presence of small populations and zero or near zero…

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 use a combination of extreme value theory, survival analysis and computer-intensive methods to analyze the mortality of Italian and French semi-supercentenarians for whom there are validated records. After accounting for the effects of…

BACKGROUND. The majority of countries in Africa and nearly one third of all countries require mortality models to infer complete age schedules of mortality, required for population estimates, projections/forecasts and many other tasks in…

The determination of the shapes of mortality curves, the estimation and projection of mortality patterns over time, and the investigation of differences in mortality patterns across different small underdeveloped populations have received…

The paper provides a stochastic model useful for assessing the capital requirement for demographic risk. The model extends to the market consistent context classical methodologies developed in a local accounting framework. In particular we…

Multi-state models provide an extension of the usual survival/event-history analysis setting. In the medical domain, multi-state models give the possibility of further investigating intermediate events such as relapse and remission. In this…

We investigate state-level age-specific mortality trends based on the United States Mortality Database (USMDB) published by the Human Mortality Database. In tandem with looking at the longevity experience across the 51 states, we also…

The significance of mortality modeling extends across multiple research areas, ranging from life insurance valuation to optimal lifetime decision-making. Existing approaches, such as mortality laws and factor-based models, often fall short…

Recently we developed a new framework in Hirz et al (2015) to model stochastic mortality using extended CreditRisk$^+$ methodology which is very different from traditional time series methods used for mortality modelling previously. In this…

Modelling and forecasting homogeneous age-specific mortality rates of multiple countries could lead to improvements in long-term forecasting. Data fed into joint models are often grouped according to nominal attributes, such as geographic…