Download or read book On Stochastic Mortality Modeling written by Richard Plat and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Stochastic Mortality Modeling and the Pricing of Mortality longevity Linked Derivatives written by Shuo-Li Chuang and published by . This book was released on 2013 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Lee-Carter mortality model provides the very first model for modeling the mortality rate with stochastic time and age mortality dynamics. The model is constructed modeling the mortality rate to incorporate both an age effect and a period effect. The Lee-Carter model provides the fundamental set up currently used in most modern mortality modeling. Various extensions of the Lee-Carter model include either adding an extra term for a cohort effect or imposing a stochastic process for mortality dynamics. Although both of these extensions can provide good estimation results for the mortality rate, applying them for the pricing of the mortality/ longevity linked derivatives is not easy. While the current stochastic mortality models are too complicated to be explained and to be implemented, transforming the cohort effect into a stochastic process for the pricing purpose is very difficult. Furthermore, the cohort effect itself sometimes may not be significant. We propose using a new modified Lee-Carter model with a Normal Inverse Gaussian (NIG) Lévy process along with the Esscher transform for the pricing of mortality/ longevity linked derivatives. The modified Lee-Carter model, which applies the Lee-Carter model on the growth rate of mortality rates rather than the level of iv mortality rates themselves, performs better than the current mortality rate models shown in Mitchell et al (2013). We show that the modified Lee-Carter model also retains a similar stochastic structure to the Lee-Carter model, so it is easy to demonstrate the implication of the model. We proposed the additional NIG Lévy process with Esscher transform assumption that can improve the fit and prediction results by adapting the mortality improvement rate. The resulting mortality rate matches the observed pattern that the mortality rate has been improving due to the advancing development of technology and improvements in the medical care system. The resulting mortality rate is also developed under a martingale measure so it is ready for the direct application of pricing the mortality/longevity linked derivatives, such as q-forward, longevity bond, and mortality catastrophe bond. We also apply our proposed model along with an information theoretic optimization method to construct the pricing procedures for a life settlement. While our proposed model can improve the mortality rate estimation, the application of information theory allows us to incorporate the private health information of a specific policy holder and hence customize the distribution of the death year distribution for the policy holder so as to price the life settlement. The resulting risk premium is close to the practical understanding in the life settlement market.

Download or read book Stochastic Mortality Modelling written by Xiaoming Liu and published by . This book was released on 2008 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: For life insurance and annuity products whose payoffs depend on the future mortality rates, there is a risk that realized mortality rates will be different from the anticipated rates accounted for in their pricing and reserving calculations. This is termed as mortality risk. Since mortality risk is difficult to diversify and has significant financial impacts on insurance policies and pension plans, it is now a well-accepted fact that stochastic approaches shall be adopted to model the mortality risk and to evaluate the mortality-linked securities.To be more specific, we consider a finite-state Markov process with one absorbing state. This Markov process is related to an underlying aging mechanism and the survival time is viewed as the time until absorption. The resulting distribution for the survival time is a so-called phase-type distribution. This approach is different from the traditional curve fitting mortality models in the sense that the survival probabilities are now linked with an underlying Markov aging process. Markov mathematical and phase-type distribution theories therefore provide us a flexible and tractable framework to model the mortality dynamics. And the time-changed Markov process allows us to incorporate the uncertainties embedded in the future mortality evolution.The proposed model has been applied to price the EIB/BNP Longevity Bonds and other mortality derivatives under the independent assumption of interest rate and mortality rate. A calibrating method for the model is suggested so that it can utilize both the market price information involving the relevant mortality risk and the latest mortality projection. The proposed model has also been fitted to various type of population mortality data for empirical study. The fitting results show that our model can interpret the stylized mortality patterns very well.The objective of this thesis is to propose the use of a time-changed Markov process to describe stochastic mortality dynamics for pricing and risk management purposes. Analytical and empirical properties of this dynamics have been investigated using a matrix-analytic methodology. Applications of the proposed model in the evaluation of fair values for mortality linked securities have also been explored.

Download or read book Stochastic Mortality Modelling written by Xiaoming Jr Liu and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Mortality written by Christian Dehm and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Mortality Density Forecasts written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Mortality Modelling with Levy Processes Based on GLM s and Applications written by Seyed Saeed Ahmadi and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pandemics Insurance and Social Protection written by María del Carmen Boado-Penas and published by Springer Nature. This book was released on 2022 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book collects expert contributions on actuarial modelling and related topics, from machine learning to legal aspects, and reflects on possible insurance designs during an epidemic/pandemic. Starting by considering the impulse given by COVID-19 to the insurance industry and to actuarial research, the text covers compartment models, mortality changes during a pandemic, risk-sharing in the presence of low probability events, group testing, compositional data analysis for detecting data inconsistencies, behaviouristic aspects in fighting a pandemic, and insurers' legal problems, amongst others. Concluding with an essay by a practicing actuary on the applicability of the methods proposed, this interdisciplinary book is aimed at actuaries as well as readers with a background in mathematics, economics, statistics, finance, epidemiology, or sociology.

Download or read book Bayesian Stochastic Mortality Modelling Under Serially Correlated Local Effects written by George Mavros and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Mortality Modelling written by Asmerilda Hitaj and published by . This book was released on 2017 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Force of mortality is defined using an exponential function of Legendre polynomials, as in Renshaw et al. (1996), plus an extra term which captures mortality shocks. For the extra term Ballotta Haberman (2006) and Ahmadi et al. (2015) consider an Ornstein-Uhlenbeck while we suggest using Lévy Continuous Autoregressive Moving Average (CARMA) models. The proposed model encompasses as special cases the existing approaches. We present some extensions in the theory of Lévy CARMA models that enter in the construction of the model estimation procedure. Males life tables for USA, Taiwan and Japan for the time period 1998-2013 are used for the presentation of fitting and projection results.

Download or read book Evaluating the Goodness of Fit of Stochastic Mortality Models written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Mortality Modelling and Management of Longevity Risk with Pricing and Reserving Applications to Annuity Products written by Daniel Steuten and published by . This book was released on 2012 with total page 291 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic mortality modeling and securitization of mortality risk written by Daniel Bauer and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Identifying Structural Breaks in Stochastic Mortality Models written by Colin O'Hare and published by . This book was released on 2014 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years the issue of life expectancy has become of upmost importance to pension providers, insurance companies and the government bodies in the developed world. Significant and consistent improvements in mortality rates and hence life expectancy have led to unprecedented increases in the cost of providing for older ages. This has resulted in an explosion of stochastic mortality models forecasting trends in mortality data in order to anticipate future life expectancy and hence quantify the costs of providing for future ageing populations. Many stochastic models of mortality rates identify linear trends in mortality rates by time, age and cohort and forecast these trends into the future using standard statistical methods. The modeling approaches used fail to capture the effects of any structural change in the trend and thus potentially produce incorrect forecasts of future mortality rates. In this paper we look at a range of leading stochastic models of mortality and test for structural breaks in the trend time series. We find that in almost all cases structural breaks in the time series are present and when allowing for these the resulting forecasts are significantly improved.

Download or read book Modelling Mortality with Actuarial Applications written by Angus S. Macdonald and published by Cambridge University Press. This book was released on 2018-05-03 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern mortality modelling for actuaries and actuarial students, with example R code, to unlock the potential of individual data.

Download or read book Old and New Perspectives on Mortality Forecasting written by Tommy Bengtsson and published by Springer. This book was released on 2019-03-28 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book describes methods of mortality forecasting and discusses possible improvements. It contains a selection of previously unpublished and published papers, which together provide a state-of-the-art overview of statistical approaches as well as behavioural and biological perspectives. The different parts of the book provide discussions of current practice, probabilistic forecasting, the linearity in the increase of life expectancy, causes of death, and the role of cohort factors. The key question in the book is whether it is possible to project future mortality accurately, and if so, what is the best approach. This makes the book a valuable read to demographers, pension planners, actuaries, and all those interested and/or working in modelling and forecasting mortality.

Download or read book A Quantitative Comparison of Stochastic Mortality Models Using Data from England Wales and the United States written by Andrew J. G. Cairns and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare quantitatively eight stochastic models explaining improvements in mortality rates in England &Wales and in the US. On the basis of the Bayes Information Criterion (BIC), we find that an extension of the Cairns, Blake & Dowd (2006b) model that incorporates the cohort effect fits the England & Wales data best, while for US data, the Renshaw & Haberman (2006) extension to the Lee & Carter (1992) model that also allows for a cohort effect provides the best fit. However, we identify problems with the robustness of parameter estimates of these models over different time periods. A different extension to the Cairns, Blake & Dowd (2006b) model that allows not only for a cohort effect, but also for a quadratic age effect, while ranking below the other models in terms of the BIC, exhibits parameter stability across different time periods for both data sets. This model also shows, for both data sets, that there have been approximately linear improvements over time in mortality rates at all ages, but that the improvements have been greater at lower ages than at higher ages, and that there are significant cohort effects.