Related papers: Retiree mortality forecasting: A partial age-range…

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…

This study explores the potential of zero-shot time series forecasting, an innovative approach leveraging pre-trained foundation models, to forecast mortality rates without task-specific fine-tuning. We evaluate two state-of-the-art…

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…

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…

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 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…

We consider the problem of optimal annuitization with labour income, where an agent aims to maximize utility from consumption and labour income under age-dependent force of mortality. Using a dynamic programming approach, we derive…

For the assessment of the financial soundness of a pension fund, it is necessary to take into account mortality forecasting so that longevity risk is consistently incorporated into future cash flows. In this article, we employ machine…

We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as opposed to being deterministic, and (ii.) a consumer can adapt…

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…

We solve a lifecycle model in which the consumer's chronological age does not move in lockstep with calendar time. Instead, biological age increases at a stochastic non-linear rate in time like a broken clock that might occasionally move…

The significance of mortality modeling extends across multiple research areas, ranging from life insurance valuation to optimal lifetime decision-making. Existing approaches, such as mortality laws and factor-based models, often fall short…

Predicting the evolution of mortality rates plays a central role for life insurance and pension funds.Various stochastic frameworks have been developed to model mortality patterns taking into account the main stylized facts driving these…

In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned with abnormal cohort effects such as those for generations 1919…

Who {\em values} life annuities more? Is it the healthy retiree who expects to live long and might become a centenarian, or is the unhealthy retiree with a short life expectancy more likely to appreciate the pooling of longevity risk? What…

Semiconductor devices, especially MOSFETs (Metal-oxide-semiconductor field-effect transistor), are crucial in power electronics, but their reliability is affected by aging processes influenced by cycling and temperature. The primary aging…

The retirement funding problem addresses the question of how to manage a retiree's savings to provide her with a constant post-tax inflation adjusted consumption throughout her lifetime. This consists of choosing withdrawals and transfers…

Predicting mortality-related outcomes from images offers the prospect of accessible, noninvasive, and scalable health screening. We present a method that leverages pretrained vision transformer foundation models to estimate remaining…

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…

Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors in factor models are defined as time-related mortality indices (such as $\kappa_t$ in the…