Related papers: Mortality in a heterogeneous population - Lee-Cart…
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…
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…
Several approaches have been developed for forecasting mortality using the stochastic model. In particular, the Lee-Carter model has become widely used and there have been various extensions and modifications proposed to attain a broader…
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…
The improvement of mortality projection is a pivotal topic in the diverse branches related to insurance, demography, and public policy. Motivated by the thread of Lee-Carter related models, we propose a Bayesian model to estimate and…
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…
The aim of this paper is to study the construction of prospective mortality tables from a low number of persons subjected to risk. The presented models are the Lee-Carter and log-Poisson methods respectively. The low number of people…
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 inherent complexity of biological agents often leads to motility behavior that appears to have random components. Robust stochastic inference methods are therefore required to understand and predict the motion patterns from time…
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 investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valued parameters via inhomogeneous phase-type distributions can…
This paper presents a novel approach to stochastic mortality modelling by using the Conway--Maxwell--Poisson (CMP) distribution to model death counts. Unlike standard Poisson or negative binomial distributions, the CMP is a more adaptable…
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…
Various stochastic models have been proposed to estimate mortality rates. In this paper we illustrate how machine learning techniques allow us to analyze the quality of such mortality models. In addition, we present how these techniques can…
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…
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…
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…
Separate modelling of cause specific mortality rates and their projections can yield inconsistent forecasts when the sum of deaths by cause does not match the total observed in a population. We develop a hierarchical probabilistic framework…
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",…
Surrender poses one of the major risks to life insurance and a sound modeling of its true probability has direct implication on the risk capital demanded by the Solvency II directive. We add to the existing literature by performing…