Related papers: Forecasting age distribution of death counts: An a…

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…

The existing life table method needs to calculate the age-specific mortality first, not only has too many and complicated calculation steps, but also introduces the multiple approximation to bring error. This paper redefines the probability…

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…

We consider determining change points in a time series of age-specific mortality and fertility curves observed over time. We propose two detection methods for identifying these change points. The first method uses a functional cumulative…

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.…

Mortality forecasting is crucial for demographic planning and actuarial studies, especially for projecting population ageing and longevity risk. Classical approaches largely rely on extrapolative methods, such as the Lee-Carter (LC) model,…

Mortality forecasting methods in the Lee-Carter tradition extrapolate temporal components via time-series models, often producing forecasts that systematically underpredict life expectancy at long horizons. This bias is consequential for…

Mortality forecasting plays a pivotal role in insurance and financial risk management of life insurers, pension funds, and social securities. Mortality data is usually high-dimensional in nature and favors factor model approaches to…

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…

Multivariate functional data that are cross-sectionally compositional data are attracting increasing interest in the statistical modeling literature, a major example being trajectories over time of compositions derived from cause-specific…

In statistics, forecast uncertainty is often quantified using a specified statistical model, though such approaches may be vulnerable to model misspecification, selection bias, and limited finite-sample validity. While bootstrapping can…

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…

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…

To analyze and project age-specific mortality or morbidity rates age-period-cohort (APC) models are very popular. Bayesian approaches facilitate estimation and improve predictions by assigning smoothing priors to age, period and cohort…

This study presents a framework for high-resolution mortality simulations tailored to insured and general populations. Due to the scarcity of detailed demographic-specific mortality data, we leverage Iterative Proportional Fitting (IPF) and…

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…

When generating social policies and pricing annuity at national and subnational levels, it is essential both to forecast mortality accurately and ensure that forecasts at the subnational level add up to the forecasts at the national level.…

We study the dynamics of cause--specific mortality rates among countries by considering them as compositions of functions. We develop a novel framework for such data structure, with particular attention to functional PCA. The application of…

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide…

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…