相关论文: Mortality Heterogeneity and Actuarial Fairness in …

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…

In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of…

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…

In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…

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…

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…

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…

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…

We study a fully funded, collective defined-contribution (DC) pension system with multiple overlapping generations. We investigate whether the welfare of participants can be improved by intergenerational risk sharing (IRS) implemented with…

We present an architecture for managing Collective Defined Contribution (CDC) schemes. The current approach to UK CDC can be described as shared-indexation, where the nominal benefit of every member in a scheme receives the same level of…

\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…

Ageing populations in developing countries have spurred the introduction of public pension programs to preserve the standard of living for the elderly. The often-overlooked mechanism of intergenerational transfers, however, can dampen these…

An essential input of annuity pricing is the future retiree mortality. From observed age-specific mortality data, modeling and forecasting can be taken place in two routes. On the one hand, we can first truncate the available data to…

Recently we developed a new framework in Hirz et al (2015) to model stochastic mortality using extended CreditRisk$^+$ methodology which is very different from traditional time series methods used for mortality modelling previously. In this…

Mortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing…

We evaluate the performance and level of intergenerational cross-subsidy in flat-accrual and dynamic-accrual collective defined contribution (CDC) schemes which have been designed to be compatible with UK legislation. In the flat-accrual…

In this paper, we develop a deep neural network approach to solve a lifetime expected mortality-weighted utility-based model for optimal consumption in the decumulation phase of a defined contribution pension system. We formulate this…

Separate modelling of cause specific mortality rates and their projections can yield inconsistent forecasts when the sum of deaths by cause does not match the total observed in a population. We develop a hierarchical probabilistic framework…

This study employs a co-integrated socio-economic model to investigate the long-run drivers of Chinese government expenditure on public pensions, addressing critical stability and sustainability challenges. Our methodology establishes a…

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…