Related papers: A Two-Population Mortality Model to Assess Longevi…

We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation of expected values of nonlinear functionals of…

Population size estimation based on two sample capture-recapture type experiment is an interesting problem in various fields including epidemiology, pubic health, population studies, etc. The Lincoln-Petersen estimate is popularly used…

We propose a probabilistic mortality forecasting model that can be applied to derive forecasts for populations with regular and irregular mortality developments. Our model (1) uses rates of mortality improvement to model dynamic age…

Despite many studies on the transmission mechanism of the Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), it remains still challenging to efficiently reduce mortality. In this work, we apply a two-population…

This paper presents an approach to incorporate mortality shocks into mortality projections produced by a stochastic multi-population mortality model. The proposed model combines a decreasing stochastic mortality trend with a…

The focus of the present paper is to forecast mortality rates for small sub-populations that are parts of a larger super-population. In this setting the assumption is that it is possible to produce reliable forecasts for the…

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…

When longitudinal outcomes are evaluated in mortal populations, their non-existence after death complicates the analysis and its causal interpretation. Where popular methods often merge longitudinal outcome and survival into one scale or…

Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which…

In this paper we investigate the flexibility of matrix distributions for the modeling of mortality. Starting from a simple Gompertz law, we show how the introduction of matrix-valued parameters via inhomogeneous phase-type distributions 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…

In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk is due to the uncertain development of…

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…

We provide forecasts for mortality rates by using two different approaches. First we employ dynamic non-linear logistic models based on Heligman-Pollard formula. Second, we assume that the dynamics of the mortality rates can be modelled…

Surrender poses one of the major risks to life insurance and a sound modeling of its true probability has direct implication on the risk capital demanded by the Solvency II directive. We add to the existing literature by performing…

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)…

Credit scorecards are models used for the modelling of the probability of default of clients. The decision to extend credit to an applicant, as well as the price of the credit, is often based on these models. In order to ensure that…

In this paper we explore the life expectancy limits by based on the stochastic modeling of mortality and applying the first exit or hitting time theory of a stochastic process. The main assumption is that the health state or the "vitality",…

A linear mixed-effects (LME) model is proposed for modelling and forecasting single and multi-population age-specific death rates (ASDRs). The innovative approach that we take in this study treats age, the interaction between gender and…

In this work we present a reduction result for discrete time systems with two time scales. In order to be valid, previous results in the field require some strong hypotheses that are difficult to check in practical applications. Roughly…