Related papers: Equitable Longevity Risk Sharing or, the raison d'…
Predictive algorithms are now used to help distribute a large share of our society's resources and sanctions, such as healthcare, loans, criminal detentions, and tax audits. Under the right circumstances, these algorithms can improve the…
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…
Group fairness is achieved by equalising prediction distributions between protected sub-populations; individual fairness requires treating similar individuals alike. These two objectives, however, are incompatible when a scoring model is…
This paper studies proportional risk sharing at claim occurrence time in community-based insurance. Each participant is modeled by an individual Cram\'er-Lundberg surplus process, and, whenever a claim is reported within the pool, its cost…
Consider a closed pooled annuity fund investing in n assets with discrete-time rebalancing. At time 0, each annuitant makes an initial contribution to the fund, committing to a predetermined schedule of withdrawals. Require annuitants to be…
The United Nations released official probabilistic population projections (PPP) for all countries for the first time in July 2014. These were obtained by projecting the period total fertility rate (TFR) and life expectancy at birth ($e_0$)…
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance, while retaining the relationship among…
The main purpose of this work is to derive a partial differential equation for the reserves of life insurance liabilities subject to stochastic interest rates where the benefits and premiums depend directly on changes in the interest rate…
Using a lifecycle framework with Epstein-Zin (1989) utility and a mixed-integer optimization approach, we compute the optimal age to claim Social Security benefits. Taking advantage of homogeneity, a sufficient statistic is the ratio of…
Life-expectancy is a complex outcome driven by genetic, socio-demographic, environmental and geographic factors. Increasing socio-economic and health disparities in the United States are propagating the longevity-gap, making it a cause for…
The optimal age that a retiree claims social security retirement benefits is in general a complicated function of many factors. However, if the beneficiary's finances and health are not the constraining factors, it is possible to formally…
This study examines how market risks impact the sustainability and performance of the New Pension System (NPS). NPS relies on defined contributions from both employees and employers to build a corpus during the employee's service period.…
This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retirement, but also within the interim periods. In contrast to…
We revisit the saving behavior of elderly singles using an adversarial structural estimation framework by Kaji, Manresa and Pouliot (2023). The method bridges the simulated method of moments (SMM) and maximum-likelihood estimation by…
As governments race to implement new climate adaptation policies that prepare for more frequent flooding, they must seek policies that are effective for all communities and uphold climate justice. This requires evaluating policies not only…
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended)…
Background: A wide range of diseases show some degree of clustering in families; family history is therefore an important aspect for clinicians when making risk predictions. Familial aggregation is often quantified in terms of a familial…
We consider a population of identical individuals preying on an exhaustible resource. The individuals in the population choose a strategy that defines how they use their available time over the course of their life for feeding, for…
As life expectancy in Kenya increases, so does the need for efficient pension schemes that can secure a dignified retirement and protect members from old age poverty. Limited research, however, has explored the efficiency of these schemes…
We solve a lifecycle model in which the consumer's chronological age does not move in lockstep with calendar time. Instead, biological age increases at a stochastic non-linear rate in time like a broken clock that might occasionally move…