Related papers: A Two-Population Mortality Model to Assess Longevi…
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…
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide…
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…
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the…
The improvement of mortality projection is a pivotal topic in the diverse branches related to insurance, demography, and public policy. Motivated by the thread of Lee-Carter related models, we propose a Bayesian model to estimate and…
Undoubtedly, several countries worldwide endure to experience a continuous increase in life expectancy, extending the challenges of life actuaries and demographers in forecasting mortality. Although several stochastic mortality models have…
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…
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…
High-frequency mortality data have attracted growing attention, but their use has largely been confined to specific applications rather than general modelling and forecasting. Such data pose new challenges to traditional mortality models…
This paper extends the Lee-Carter model for single- and multi-populations to account for pandemic jump effects of vanishing kind, allowing for a more comprehensive and accurate representation of mortality rates during a pandemic,…
We investigate joint modeling of longevity trends using the spatial statistical framework of Gaussian Process regression. Our analysis is motivated by the Human Mortality Database (HMD) that provides unified raw mortality tables for nearly…
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…
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…
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…
In many countries life expectancy gains have been substantially higher than predicted by even recent forecasts. This is primarily due to increasing rates of improvement in old-age mortality not captured by existing models. In this paper we…
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a…
This paper introduces a neural network approach for fitting the Lee-Carter and the Poisson Lee-Carter model on multiple populations. We develop some neural networks that replicate the structure of the individual LC models and allow their…
Bet-hedging is a phenotype diversification strategy that combines a fast-growing vulnerable phenotype with a slow-growing resistant phenotype. In environments switching between favorable and unfavorable conditions, bet-hedging optimizes…
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…