相关论文: General bounds on functionals of the lifetime unde…

The significance of mortality modeling extends across multiple research areas, ranging from life insurance valuation to optimal lifetime decision-making. Existing approaches, such as mortality laws and factor-based models, often fall short…

To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…

Like density functions, period life-table death counts are nonnegative and have a constrained integral, and thus live in a constrained nonlinear space. Implementing established modelling and forecasting methods without obeying these…

Within the context of traditional life insurance, a model-independent relationship about how the market value of assets is attributed to the best estimate, the value of in-force business and tax is established. This relationship holds true…

Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…

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…

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…

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)…

Existing mortality forecasting methods focus on age-specific mortality rates, which lie in an unconstrained space and overlook the distributional nature of life-table death counts. Few studies have developed and compared forecasting methods…

We consider a compositional data analysis approach to forecasting the age distribution of death counts. Using the age-specific period life-table death counts in Australia obtained from the Human Mortality Database, the compositional data…

\noindent The modal age at death is an increasingly used measure for understanding longevity and mortality patterns. However, existing estimation methods focus on point estimates, overlooking the inherent variability and uncertainty in…

This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions. We focus on the impact of aging on the…

In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries…

Age-specific life-table death counts observed over time are examples of densities. Non-negativity and summability are constraints that sometimes require modifications of standard linear statistical methods. The centered log-ratio…

In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence…

In this article, we present several formulas that make it easier to compute the net single premiums when the mortality force over the fractional ages is assumed to be constant (C). More precisely, we compute the moments of the random…

The existing life table method needs to calculate the age-specific mortality first, not only has too many and complicated calculation steps, but also introduces the multiple approximation to bring error. This paper redefines the probability…

Various types of structures that enable a group of individuals to pool their mortality risk have been proposed in the literature. Collectively, the structures are called pooled annuity funds. Since the pooled annuity funds propose different…

Most insurance contracts are inherently linked to financial markets, be it via interest rates, or -- as hybrid products like equity-linked life insurance and variable annuities -- directly to stocks or indices. However, insurance contracts…

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide…