Related papers: Retiree mortality forecasting: A partial age-range…
We introduce a nonparametric bootstrap procedure based on a dynamic factor model to construct pointwise prediction intervals for period life-table death counts. The age distribution of death counts is an example of constrained data, which…
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we apply this valuation method to two examples…
Reliable mortality estimates at the subnational level are essential in the study of health inequalities within a country. One of the difficulties in producing such estimates is the presence of small populations, where the stochastic…
As a result of the greater availability of big data, as well as the decreasing costs and increasing power of modern computing, the use of artificial neural networks for financial time series forecasting is once again a major topic of…
The increasing difficulties in financing the welfare state and in particular public retirement pensions have been one of the outcomes both of the decrease of fertility and birth rates combined with the increase of life expectancy. The…
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…
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…
Recently, we have shown that the age-specific prevalence of a disease can be related to the transition rates in the illness-death model via a partial differential equation (PDE). In case of a chronic disease, we show that the PDE can be…
In usual demographic analysis, force of mortality is a function of one variable, that is, of age. In this article bi-variate and multivariate force of mortality functions are introduced for the first time to explain mortality differentials.…
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,…
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)…
This paper addresses the problem of determining the optimal time for an individual to convert retirement savings into a lifetime annuity. The individual invests their wealth into a dividend-paying fund that follows the dynamics of a…
In this study we propose a unified model of optimal retirement, consumption and portfolio choice of an individual agent, which encompasses a large class of the models in the literature and provide a general methodology to solve the model.…
Life assurance companies typically possess a wealth of data covering multiple systems and databases. These data are often used for analyzing the past and for describing the present. Taking account of the past, the future is mostly…
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…
Machine-learning-based age estimation has received lots of attention. Traditional age estimation mechanism focuses estimation age error, but ignores that there is a deviation between the estimated age and real age due to disease.…
Most contemporary mortality models rely on extrapolating trends or past events. However, population dynamics will be significantly impacted by climate change, notably the influence of temperatures on mortality. In this paper, we introduce 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…
This paper addresses the risk-minimization problem, with and without mortality securitization, \`a la F\"ollmer-Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework…
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…