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We propose a nonstationary functional time series forecasting method with an application to age-specific mortality rates observed over the years. The method begins by taking the first-order differencing and estimates its long-run covariance…
Application of some basic notions and statistics of ageing distributions used in mathematical theory of reliability including the Gini-type index is discussed as a methodological tool for investigation of human population ageing and…
Model averaging techniques in the actuarial literature aim to forecast future longevity appropriately by combining forecasts derived from various models. This approach often yields more accurate predictions than those generated by a single…
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 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 Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that model cohort effects but there is no…
This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions. We focus on the impact of aging on the…
Further to the proposal and application of a stochastic methodology and the resulting first exit time distribution function to life table data we introduce a theoretical framework for the estimation of the maximum deterioration age and to…
Survival analysis studies and predicts the time of death, or other singular unrepeated events, based on historical data, while the true time of death for some instances is unknown. Survival trees enable the discovery of complex nonlinear…
In areas of application, including actuarial science and demography, it is increasingly common to consider a time series of curves; an example of this is age-specific mortality rates observed over a period of years. Given that age can be…
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…
Count data appears in various disciplines. In this work, a new method to analyze time series count data has been proposed. The method assumes exponentially decaying covariance structure, a special class of the Mat\'ern covariance function,…
Model averaging combines forecasts obtained from a range of models, and it often produces more accurate forecasts than a forecast from a single model. The crucial part of forecast accuracy improvement in using the model averaging lies in…
Risk prediction is central to both clinical medicine and public health. While many machine learning models have been developed to predict mortality, they are rarely applied in the clinical literature, where classification tasks typically…
Will the United Kingdom's ageing population be fit and independent, or suffer from greater chronic ill health? Healthy life expectancy is commonly used to assess this: it is an estimate of how many years are lived in good health over the…
Aggregated health data such as claims data from health insurances become more and more available for research purposes. Estimates of excess mortality from prevalence and incidence of a chronic condition have only been possible for ages 50…
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…
Rainfall is an important component of the climate system and its statistical properties are vital for prediction purposes. In this study, we have developed a statistical method for constructing the distribution of annual precipitation. The…
The missing data problem pervasively exists in statistical applications. Even as simple as the count data in mortality projections, it may not be available for certain age-and-year groups due to the budget limitations or difficulties in…
Fertility differentials by urban-rural residence and nativity of women in Australia significantly impact population composition at sub-national levels. We aim to provide consistent fertility forecasts for Australian women characterized by…