Related papers: Forecasting age distribution of death counts: An 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",…

Diverse analysis approaches have been proposed to distinguish data missing due to death from nonresponse, and to summarize trajectories of longitudinal data truncated by death. We demonstrate how these analysis approaches arise from…

Although the analysis of human mortality has a well-established history, the attempt to accurately forecast future death-rate patterns for different age groups and time horizons still attracts active research. Such a predictive focus has…

We study actuarial fairness in China's notional defined contribution (NDC) pension system when mortality differs across income groups. Under current rules, individual account balances are converted into monthly benefits using an official…

This study introduces an innovative methodology for mortality forecasting, which integrates signature-based methods within the functional data framework of the Hyndman-Ullah (HU) model. This new approach, termed the Hyndman-Ullah with…

This paper considers the problem of forecasting mortality rates. A large number of models have already been proposed for this task, but they generally have the disadvantage of either estimating the model in a two-step process, possibly…

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…

When modeling sub-national mortality rates, we should consider three features: (1) how to incorporate any possible correlation among sub-populations to potentially improve forecast accuracy through multi-population joint modeling; (2) how…

The state-of-the-art proposes Life Care Annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and Guaranteed Lifelong Withdrawal Benefits. In this paper, we propose more general features for…

We provide forecasts for mortality rates by using two different approaches. First we employ dynamic non-linear logistic models based on Heligman-Pollard formula. Second, we assume that the dynamics of the mortality rates can be modelled…

We introduce a statistical method for modeling and forecasting functional panel data represented by multiple densities. Density functions are nonnegative and have a constrained integral and thus do not constitute a linear vector space. 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…

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…

A well-established insight in mortality forecasting is that combining predictions from a set of models improves accuracy compared to relying on a single best model. This paper proposes a novel ensemble approach based on Shapley values, a…

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…

Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a…

This research explores how total mortality figures relate to age-standardized death rates within the United States, using the complete historical record of national mortality statistics. Through a detailed investigation of both all-cause…

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)…

There has been growing interest on forecasting mortality. In this article, we propose a novel dynamic Bayesian approach for modeling and forecasting the age-at-death distribution, focusing on a three-components mixture of a Dirac mass, a…

The COVID-19 pandemic has placed forecasting models at the forefront of health policy making. Predictions of mortality and hospitalization help governments meet planning and resource allocation challenges. In this paper, we consider the…