Related papers: Stochastic frailty models for modeling and forecas…

In this work we provide a simple estimation procedure for a general frailty model for analysis of prospective correlated failure times. Rigorous large-sample theory for the proposed estimators of both the regression coefficient vector and…

This paper compares six different parameter estimation methods for shared frailty models via a series of simulation studies. A shared frailty model is a survival model that incorporates a random effect term, where the frailties are common…

To better understand mortality change with age capturing the variability in individuals' rates of aging, we performed comprehensive analysis of statistical properties of a cumulative index of age-associated disorders (deficits), called a…

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…

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…

Mortality forecasting plays a pivotal role in insurance and financial risk management of life insurers, pension funds, and social securities. Mortality data is usually high-dimensional in nature and favors factor model approaches to…

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…

Excess mortality, i.e. the difference between expected and observed mortality, is used to quantify the death toll of mortality shocks, such as infectious disease-related epidemics and pandemics. However, predictions of expected mortality…

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…

We propose a novel frailty model with change points applying random effects to a Cox proportional hazard model to adjust the heterogeneity between clusters. Because the frailty model includes random effects, the parameters are estimated…

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…

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…

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…

Model averaging combines forecasts obtained from a range of models, and it often produces more accurate forecasts than a forecast from a single model. The crucial part of forecast accuracy improvement in using the model averaging lies in…

Identifying frail older adults in an ageing population is essential for improving healthcare services. This study proposes a composite indicator to assess individual frailty levels using administrative healthcare data. Given the complex and…

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…

This paper considers the problem of forecasting mortality rates. A large number of models have already been proposed for this task, but they generally have the disadvantage of either estimating the model in a two-step process, possibly…

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…

Continuous-time multi-state survival models can be used to describe health-related processes over time. In the presence of interval-censored times for transitions between the living states, the likelihood is constructed using transition…

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…