Related papers: Several expressions of the net single premiums und…
In this paper, we provide a comprehensive cross-country validation study of compositional mortality modeling and forecasting methods. Thus, we consider two one-to-one transformations: the cumulative distribution function and the centered…
I present a simple numerical model based on iteratively updating subgroups of a population, individually modeled by nonnegative real numbers, by a constant decay factor; however, at each iteration, one group is selected to instead be…
We study approximation in the unit interval by rational numbers whose numerators are selected randomly with certain probabilities. Previous work showed that an analogue of Khintchine's Theorem holds in a similar random model and raised the…
Suitable assumptions for the Gompertz mortality law take into account the break in the time development observed recently by Wilmoth et al. They show how a drastic reduction in the birth rate and improved living conditions lead to a drastic…
In the context of life insurance with profit participation, the future discretionary benefits ($FDB$), which are a central item for Solvency~II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We…
We propose a novel approach for estimating mean survival time in the presence of censored data, in which we divide the population under study into survival-ordered fractions defined by a set of proportions, and compute the mean survival…
The fractional birth and the fractional death processes are more desirable in practice than their classical counterparts as they naturally provide greater flexibility in modeling growing and decreasing systems. In this paper, we propose…
Age-specific mortality rates are often disaggregated by different attributes, such as sex, state, ethnic group and socioeconomic status. In making social policies and pricing annuity at national and subnational levels, it is important not…
The net-premium principle is considered to be the most genuine and fair premium principle in actuarial applications. However, an insurance company, applying the net-premium principle, goes bankrupt with probability one in the long run, even…
In this work, we propose a simplification of the Pollaczek-Khinchine formula for the ultimate time survival (or ruin) probability calculation in exchange for a few assumptions on the random variables which generate the renewal risk model.…
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",…
The limitations resulting from the dichtomisation of continuous outcomes have been extensively described. But the need to present results based on binary outcomes in particular in health science remains. Alternatives based on the…
It is well-known that combining life annuities and death benefits introduce opposite effects in payments with respect to the mortality risk on the lifetime of the insured. In a general multi-state framework with multiple product types, such…
We consider the well-known problem of the computation of the (limiting) time-dependent performance characteristics of one-dimensional continuous-time birth and death processes on $\mathbb{Z}$ with time varying and possible state-dependent…
We find the optimal indemnity to maximize the expected utility of terminal wealth of a buyer of insurance whose preferences are modeled by an exponential utility. The insurance premium is computed by a convex functional. We obtain a…
Expressions are given for the truncated fractional moments $E X_+^p$ of a general stable law. These involve families of special functions that arose out of the study of multivariate stable densities and probabilities. As a particular case,…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…
How long people live depends on their health, and how it changes with age. Individual health can be tracked by the accumulation of age-related health deficits. The fraction of age-related deficits is a simple quantitative measure of human…
We use a combination of extreme value theory, survival analysis and computer-intensive methods to analyze the mortality of Italian and French semi-supercentenarians for whom there are validated records. After accounting for the effects of…
This study presents a framework for high-resolution mortality simulations tailored to insured and general populations. Due to the scarcity of detailed demographic-specific mortality data, we leverage Iterative Proportional Fitting (IPF) and…