Related papers: Long-range dependent mortality modeling with coint…
Although traditional literature on mortality modeling has focused on single countries in isolation, recent contributions have progressively moved toward joint models for multiple countries. Besides favoring borrowing of information to…
Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a…
Diverse analysis approaches have been proposed to distinguish data missing due to death from nonresponse, and to summarize trajectories of longitudinal data truncated by death. We demonstrate how these analysis approaches arise from…
Traditional survival analysis methods often struggle with complex time-dependent data,failing to capture and interpret dynamic characteristics adequately.This study aims to evaluate the performance of three long-sequence…
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…
We present neural frailty machine (NFM), a powerful and flexible neural modeling framework for survival regressions. The NFM framework utilizes the classical idea of multiplicative frailty in survival analysis to capture unobserved…
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…
We establish a comprehensive sample path large deviation principle (LDP) for log-processes associated with multivariate time-inhomogeneous stochastic volatility models. Examples of models for which the new LDP holds include Gaussian models,…
This work aims to implement Long Short-Term Memory mixture density networks (LSTM-MDNs) for Value-at-Risk forecasting and compare their performance with established models (historical simulation, CMM, and GARCH) using a defined backtesting…
Policymakers often require information on programs' long-term impacts that is not available when decisions are made. We demonstrate how data fusion methods may be used address the problem of missing final outcomes and predict long-run…
This paper studies the high-dimensional mixed linear regression (MLR) where the output variable comes from one of the two linear regression models with an unknown mixing proportion and an unknown covariance structure of the random…
Stepped wedge cluster-randomized trial (CRTs) designs randomize clusters of individuals to intervention sequences, ensuring that every cluster eventually transitions from a control period to receive the intervention under study by the end…
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 study examines the disposition effect in both long and short exposure positions in FTSE MIB tracking ETFs using a unique dataset of almost 9 million individual transactions. Building on the integrated framing approach, we extend the…
Accurate lifetime prediction of structures subjected to cyclic loading is vital, especially in scenarios involving non-uniform loading histories where load sequencing critically influences structural durability. Addressing this complexity…
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…
In the property and casualty (P&C) insurance industry, reserves comprise most of a company's liabilities. These reserves are the best estimates made by actuaries for future unpaid claims. Notably, reserves for different lines of business…
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…
Robust M-estimation uses loss functions, such as least absolute deviation (LAD), quantile loss and Huber's loss, to construct its objective function, in order to for example eschew the impact of outliers, whereas the difficulty in analysing…
The discrete variable local diabatic representation (LDR) provides a divergence-free framework for exact conical intersection dynamics simulation. In this work, we investigate the convergence with respect to the number of "nuclear" grid…