Related papers: Forecasting age distribution of death counts: An a…
Epidemiologic studies and clinical trials with a survival outcome are often challenged by immortal time (IMT), a period of follow-up during which the survival outcome cannot occur because of the observed later treatment initiation. It has…
This work introduces a Bayesian smoothing approach for the joint graduation of mortality rates across multiple populations. In particular, dynamical linear models are used to induce smoothness across ages through structured dependence,…
The fractional birth and the fractional death processes are more desirable in practice than their classical counterparts as they naturally provide greater flexibility in modeling growing and decreasing systems. In this paper, we propose…
We use the method of Maximum (relative) Entropy to process information in the form of observed data and moment constraints. The generic "canonical" form of the posterior distribution for the problem of simultaneous updating with data and…
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 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…
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…
A new probability distribution to study lifetime data in reliability is introduced in this paper. This one is a first approach to a non-homogeneous phase-type distribution. It is built by considering one cut-point in the non-negative…
We introduce a general class of continuous univariate distributions with positive support obtained by transforming the class of two-piece distributions. We show that this class of distributions is very flexible, easy to implement, and…
A new methodology is proposed to approximate the time-dependent house price distribution at a fine regional scale using Gaussian mixtures. The means, variances and weights of the mixture components are related to time, location and dwelling…
Previously, we proposed a probabilistic data generation model represented by an unobservable tree and a sequential updating method to calculate a posterior distribution over a set of trees. The set is called a meta-tree. In this paper, we…
Consider a closed pooled annuity fund investing in n assets with discrete-time rebalancing. At time 0, each annuitant makes an initial contribution to the fund, committing to a predetermined schedule of withdrawals. Require annuitants to be…
This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a…
Temporal point processes offer a powerful framework for sampling from discrete distributions, yet they remain underutilized in existing literature. We show how to construct, for any target multivariate count distribution with…
Human mortality patterns and trajectories in closely related populations are likely linked together and share similarities. It is always desirable to model them simultaneously while taking their heterogeneity into account. This paper…
The dynamics of a rain forest is extremely complex involving births, deaths and growth of trees with complex interactions between trees, animals, climate, and environment. We consider the patterns of recruits (new trees) and dead trees…
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…
Estimating the mortality of birds and bats at wind turbines based on periodic carcass counts is challenging because carcasses may be removed by scavengers or may be missed in investigators' searches, leading to undercounting. Existing…
In this paper, we develop an expected utility model for the retirement behavior in the decumulation phase of Australian retirees with sequential family status subject to consumption, housing, investment, bequest and government provided…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…