A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Paper uses neural networks to calibrate Lee-Carter models for multiple populations.
The aim of this paper is to study the construction of prospective mortality tables from a low number of persons subjected to risk. The presented models are the Lee-Carter and log-Poisson methods respectively. The low number of people subjected to risk, particularly noticed for the persons who are getting on, implies th…
This article applies a long short-term memory recurrent neural network to mortality rate forecasting. The model can be trained jointly on the mortality rate history of different countries, ages, and sexes. The RNN-based method seems to outperform the popular Lee-Carter model.
The Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that model cohort effects but there is no consensus. It is difficult to simultaneously account for cohort effects and age-adj…
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 forecasting or pricing of longevity derivatives, while the full implications and methods …
The study examines how different interpolation methods affect the decomposition of life insurance surplus.
The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic prospective tables thus built make it possible to project the evolution of the rand…
Study finds actuarial unfairness in China's pension system, proposing income-dependent annuitization rules.
The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic prospective tables thus built make it possible to project the evolution of the rand…
Paper develops a two-population model to assess longevity basis risk.
Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss modelling of life insurance and annuity portfolios which can be used in (partial) intern…
We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation of expected values of nonlinear functionals of multi-dimensional stochastic processes. Except in the simplest cases, no closed-form expressi…
The paper proposes a dynamic risk measure approach for evaluating defined-contribution pension funds.
Study uses zero-shot models to forecast mortality rates globally.
Geometrically proves twisted Poincaré duality for orientable Poisson manifolds.
We propose a Poisson-Lie analog of the symplectic induction procedure, using an appropriate Poisson generalization of the reduction of symplectic manifolds with symmetry. Having as basic tools the equivariant momentum maps of Poisson actions, the double group of a Poisson-Lie group and the reduction of Poisson manifold…
New Poisson structures on algebras linked to derivatives.
New Lie groups found for Poisson diffeomorphisms.
We semiclassicalise the theory of quantum group principal bundles to the level of Poisson geometry. The total space is a Poisson manifold with Poisson-compatible contravariant connection, the fibre is a Poisson-Lie group in the sense of Drinfeld with bicovariant Poisson-compatible contravariant connection, and the …
We construct a Poisson isomorphism between the formal Poisson manifolds g^* and G^*, where g is a finite dimensional quasitriangular Lie bialgebra. Here g^* is equipped with its Lie-Poisson (or Kostant-Kirillov-Souriau) structure, and G^* with its Poisson-Lie structure. We also quantize Poisson-Lie dynamical r-matrices…
The paper establishes a Poisson Poincaré-Dulac theorem for Poisson-flat connections.
The first cohomology of Poisson algebras is described and conditions for its vanishing are established.
The paper normalizes Poisson saturation of coregular submanifolds.
Develops reduction method for strong Dirac maps.
We reformulate the Poisson structure discovered by Fock and Rosly on moduli spaces of flat connections over marked surfaces in the framework of Poisson structures defined by Lie algebra actions and quasitriangular -matrices, and we show that it is an example of a mixed product Poisson structure associated to pairs o…
A new Poisson bracket defined on Poisson structures with applications to fixed points and cohomology.
The study uses ML and AI to forecast pension fund mortality, outperforming traditional methods.
Abstract: Homotopy Poisson algebra models for reduced spaces derived from Poisson structures.
Study Poisson algebras for Hamiltonian systems linearization.
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known Lévy process: The compound Poisson process. The semi-Markov extension of the compound Poisson process naturally leads to the compound fractional Poisson proc…
Gaussian surrogates improve Poisson imaging performance at low doses.
Cohomology of 'book' Lie algebra Poisson structure computed.
We address the question of duality for the dynamical Poisson groupoids of Etingof and Varchenko over a contractible base. We also give an explicit description for the coboundary case associated with the solutions of the classical dynamical Yang-Baxter equation on simple Lie algebras as classified by the same authors. O…
A Poisson-Lie group acting by the coadjoint action on the dual of its Lie algebra induces on it a non-trivial class of quadratic Poisson structures extending the linear Poisson bracket on the coadjoint orbits.
Symmetric Poisson structures linked to geodesic foliations and Jordan algebras.
Study of Poisson homeomorphisms and rigidity of coisotropic submanifolds.
In this paper, we first study the Poisson reductions of controlled Hamiltonian (CH) system and symmetric CH system by controllability distributions. These reductions are the extension of Poisson reductions by distribution for Poisson manifolds to that for phase spaces of CH systems with external force and control. We g…
Study of symplectic and Poisson reduction, proposing Poisson implosion.
Local formulas for Poisson structures on wrinkled fibrations are derived.
Study KMS measures in Poisson geometry, focusing on -Poisson manifolds.
We provide a quasi-Poisson version of the Drinfeld's correspondence between Poisson homogeneous spaces and Lagrangian subalgebras.
We establish a 1:1 correspondence between Poisson-Lie group actions on integrable Poisson manifolds and twisted multiplicative hamiltonian actions on source 1-connected symplectic groupoids. For an action of a Poisson-Lie group on a Poisson manifold , we find an explicit description of the lifted hamiltonian act…
Symplectic groupoids create Poisson integrators for complex systems.
We associate a homotopy Poisson-n algebra to any higher symplectic structure, which generalizes the common symplectic Poisson algebra of smooth functions. This provides robust n-plectic prequantum data for most approaches to quantization. UPDATE: It has been brought to my attention that the exterior product does not cl…
In this paper we introduce poly-Poisson structures as a higher-order extension of Poisson structures. It is shown that any poly-Poisson structure is endowed with a polysymplectic foliation. It is also proved that if a Lie group acts polysymplectically on a polysymplectic manifold then, under certain regularity conditio…
It is known that the computation of the Poisson cohomology is closely related to the classification of singularities of Poisson structures. In this paper, we will first look for the normal forms of germs at (0,0) of Poisson structures on the real (or complex) plane and recall a result given by Arnold. Then, we will com…
In this paper, we introduce the notions of logarithmic Poisson structure and logarithmic principal Poisson structure; we prove that the latter induces a representation by logarithmic derivation of the module of logarithmic Kahler differentials; therefore, it induces a differential complex from which we derive the notio…
Quantization of (-1)-shifted derived Poisson manifolds via BV-infinity operators.