Download or read book Stochastic Systematic Mortality Risk Modeling Under Collateral Data and Actuarial Applications written by Joab Onyango Odhiambo and published by Eliva Press. This book was released on 2023-03-26 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many actuaries worldwide use Systematic Mortality Risk (SMR) to value actuarial products such as annuities and assurances sold to policyholders. Data availability plays an essential role in ascertaining the SMR models' accuracy, and it varies from one country to another. Incorrect stochastic modeling of SMR models due to paucity of data has been a problem for many Sub-Saharan African countries such as Kenya, thus prompting modifications of the classical SMR models used in those countries with limited data availability. This study aimed at modelling SMR stochastically under the collateral data environment such as Sub-Saharan African countries like Kenya and then apply it in the current actuarial valuations. This book has formulated novel stochastic mortality risk models under the collateral data setup. Kenya population data is preferably integrated into the commonly applied stochastic mortality risk models under a 3-factor unitary framework of age-time-cohort. After testing SMR models on the Kenyan data to assess their behaviours, we incorporate the Bühlmann Credibility Approach with random coefficients in modeling. The randomness of the classical SMR models was modeled as NIG distribution instead of Normal distribution due to data paucity in Kenya (use of collateral data environment). The Deep Neural Network (DNN) technique solved data paucity during the SMR model fitting and forecasting. The forecasting performances of the SMR models were done under DNN and, compared with those from conventional models, show powerful empirical illustrations in their precision levels. Numerical results showed that SMR models become more accurate under collateral data after incorporating the BCA with NIG assumptions. The Actuarial valuation of annuities and assurances using the new SMR offered much more accurate valuations when compared to those under classical models. The study's findings should help regulators such as IRA and RBA make policy documents that protect all stakeholders in Kenya's insurance, social protection firms, and pension sectors.

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 Stochastic Mortality Models with Applications in Financial Risk Management written by Siu Hang Li and published by . This book was released on 2007 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 Actuarial Applications and Estimation of Extended CreditRiskPlus written by Jonas Hirz and published by . This book was released on 2017 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte Carlo (MCMC) is used for parameter estimation. We then link our proposed model to an extended version of the credit risk model CreditRisk . This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm and provides numerous applications in credit, life insurance and annuity portfolios to derive P&L distributions. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples, including an application to partial internal models under Solvency II, using Austrian and Australian data are shown.

Download or read book Mathematical and Statistical Methods for Actuarial Sciences and Finance written by Marco Corazza and published by Springer Nature. This book was released on 2021-12-13 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: The cooperation and contamination between mathematicians, statisticians and econometricians working in actuarial sciences and finance is improving the research on these topics and producing numerous meaningful scientific results. This volume presents new ideas, in the form of four- to six-page papers, presented at the International Conference eMAF2020 – Mathematical and Statistical Methods for Actuarial Sciences and Finance. Due to the now sadly famous COVID-19 pandemic, the conference was held remotely through the Zoom platform offered by the Department of Economics of the Ca’ Foscari University of Venice on September 18, 22 and 25, 2020. eMAF2020 is the ninth edition of an international biennial series of scientific meetings, started in 2004 at the initiative of the Department of Economics and Statistics of the University of Salerno. The effectiveness of this idea has been proven by wide participation in all editions, which have been held in Salerno (2004, 2006, 2010 and 2014), Venice (2008, 2012 and 2020), Paris (2016) and Madrid (2018). This book covers a wide variety of subjects: artificial intelligence and machine learning in finance and insurance, behavioral finance, credit risk methods and models, dynamic optimization in finance, financial data analytics, forecasting dynamics of actuarial and financial phenomena, foreign exchange markets, insurance models, interest rate models, longevity risk, models and methods for financial time series analysis, multivariate techniques for financial markets analysis, pension systems, portfolio selection and management, real-world finance, risk analysis and management, trading systems, and others. This volume is a valuable resource for academics, PhD students, practitioners, professionals and researchers. Moreover, it is also of interest to other readers with quantitative background knowledge.

Download or read book Integrating Financial and Demographic Longevity Risk Models written by Michael Sherris and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since its introduction, the Lee Carter model has been widely adopted as a means of modelling the distribution of projected mortality rates. Increasingly attention is being placed on alternative models and, importantly in the financial and actuarial literature, on models suited to risk management and pricing. Financial economic approaches based on term structure models provide a framework for embedding longevity models into a pricing and risk management framework. They can include traditional actuarial models for the force of mortality as well as multiple risk factor models. The paper develops a stochastic longevity model suitable for financial pricing and risk management applications based on Australian population mortality rates from 1971-2004 for ages 50-99. The model allows for expected changes arising from age and cohort effects and includes multiple stochastic risk factors. The model captures age and time effects and allows for age dependence in the stochastic factors driving longevity improvements. The model provides a good fit to historical data capturing the stochastic trends in mortality improvement at different ages and across time as well as the multivariate dependence structure across ages.

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 Mortality Risk Modeling written by Samuel H. Cox and published by . This book was released on 2011 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a stochastic mortality model featuring both permanent longevity jump and temporary mortality jump processes. A trend reduction component describes unexpected mortality improvement over an extended period of time. The model also captures the uneven effect of mortality events on different ages and the correlations among them. The model will be useful in analyzing future mortality dependent cash flows of life insurance portfolios, annuity portfolios, and portfolios of mortality derivatives. We show how to apply the model to analyze and price a longevity security.

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 Actuarial Theory for Dependent Risks written by Michel Denuit and published by John Wiley & Sons. This book was released on 2006-05-01 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: The increasing complexity of insurance and reinsurance products has seen a growing interest amongst actuaries in the modelling of dependent risks. For efficient risk management, actuaries need to be able to answer fundamental questions such as: Is the correlation structure dangerous? And, if yes, to what extent? Therefore tools to quantify, compare, and model the strength of dependence between different risks are vital. Combining coverage of stochastic order and risk measure theories with the basics of risk management and stochastic dependence, this book provides an essential guide to managing modern financial risk. * Describes how to model risks in incomplete markets, emphasising insurance risks. * Explains how to measure and compare the danger of risks, model their interactions, and measure the strength of their association. * Examines the type of dependence induced by GLM-based credibility models, the bounds on functions of dependent risks, and probabilistic distances between actuarial models. * Detailed presentation of risk measures, stochastic orderings, copula models, dependence concepts and dependence orderings. * Includes numerous exercises allowing a cementing of the concepts by all levels of readers. * Solutions to tasks as well as further examples and exercises can be found on a supporting website. An invaluable reference for both academics and practitioners alike, Actuarial Theory for Dependent Risks will appeal to all those eager to master the up-to-date modelling tools for dependent risks. The inclusion of exercises and practical examples makes the book suitable for advanced courses on risk management in incomplete markets. Traders looking for practical advice on insurance markets will also find much of interest.

Download or read book Loss Models written by Stuart A. Klugman and published by John Wiley & Sons. This book was released on 2019-05-07 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide that provides in-depth coverage of modeling techniques used throughout many branches of actuarial science, revised and updated Now in its fifth edition, Loss Models: From Data to Decisions puts the focus on material tested in the Society of Actuaries (SOA) newly revised Exams STAM (Short-Term Actuarial Mathematics) and LTAM (Long-Term Actuarial Mathematics). Updated to reflect these exam changes, this vital resource offers actuaries, and those aspiring to the profession, a practical approach to the concepts and techniques needed to succeed in the profession. The techniques are also valuable for anyone who uses loss data to build models for assessing risks of any kind. Loss Models contains a wealth of examples that highlight the real-world applications of the concepts presented, and puts the emphasis on calculations and spreadsheet implementation. With a focus on the loss process, the book reviews the essential quantitative techniques such as random variables, basic distributional quantities, and the recursive method, and discusses techniques for classifying and creating distributions. Parametric, non-parametric, and Bayesian estimation methods are thoroughly covered. In addition, the authors offer practical advice for choosing an appropriate model. This important text: • Presents a revised and updated edition of the classic guide for actuaries that aligns with newly introduced Exams STAM and LTAM • Contains a wealth of exercises taken from previous exams • Includes fresh and additional content related to the material required by the Society of Actuaries (SOA) and the Canadian Institute of Actuaries (CIA) • Offers a solutions manual available for further insight, and all the data sets and supplemental material are posted on a companion site Written for students and aspiring actuaries who are preparing to take the SOA examinations, Loss Models offers an essential guide to the concepts and techniques of actuarial science.

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 Modelling in Life Insurance A Management Perspective written by Jean-Paul Laurent and published by Springer. This book was released on 2016-05-02 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on life insurance and pensions, this book addresses various aspects of modelling in modern insurance: insurance liabilities; asset-liability management; securitization, hedging, and investment strategies. With contributions from internationally renowned academics in actuarial science, finance, and management science and key people in major life insurance and reinsurance companies, there is expert coverage of a wide range of topics, for example: models in life insurance and their roles in decision making; an account of the contemporary history of insurance and life insurance mathematics; choice, calibration, and evaluation of models; documentation and quality checks of data; new insurance regulations and accounting rules; cash flow projection models; economic scenario generators; model uncertainty and model risk; model-based decision-making at line management level; models and behaviour of stakeholders. With author profiles ranging from highly specialized model builders to decision makers at chief executive level, this book should prove a useful resource to students and academics of actuarial science as well as practitioners.

Download or read book Stochastic Models for Dynamic Mortality written by Enrico Biffis and published by . This book was released on 2003 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 Loss Models From Data to Decisions 4e Solutions Manual Set written by Stuart A. Klugman and published by Wiley. This book was released on 2012-10-24 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: An update of one of the most trusted books on constructing and analyzing actuarial models for the C/4 actuarial examThis new, abridged edition has been thoroughly revised and updated to include the essential material related to Exam C of the Society of Actuaries' and Casualty Actuarial Society's accreditation programs. The book maintains an approach to modeling and forecasting that utilizes tools related to risk theory, loss distributions, and survival models. Random variables, basic distributional quantities, the recursive method, and techniques for classifying and creating distributions are also discussed. Both parametric and non-parametric estimation methods are thoroughly covered along with advice for choosing an appropriate model. The book continues to distinguish itself by providing over 400 exercises that have appeared on previous examinations. The emphasis throughout is now placed on calculations and spreadsheet implementation. Additional features of the Fourth Edition include: extended discussions of risk management and risk measures, including Tail-Value-at-Risk; expanded coverage of copula models and their estimation; new sections on extreme value distributions and their estimations, compound frequency class of distributions, and estimation for the compound class; and motivating examples from fields of insurance and business. All data sets are available on an FTP site. An assortment of supplements (both print and electronic) is available. Loss Models, Fourth Edition is an essential resource for students and aspiring actuaries who are preparing to take the SOA and CAS preliminary examinations C/4. It is also a must-have reference for professional actuaries, graduate students in the actuarial field, and anyone who works with loss and risk models in their everyday work. To explore our additional offerings in actuarial exam preparation visit www.wiley.com/go/c4actuarial.