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.
The paper analyzes optimal retirement timing considering age-dependent mortality risk.
Optimal annuitization strategy depends on age, labor income, and mortality risk.
Unified framework explains retirement and annuitization decisions under age-dependent mortality.
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 downside protection. A tractable stochastic mortality model with age dependent …
Accurate diagnosis is crucial for preventing the progression of Parkinson's, as well as improving the quality of life with individuals with Parkinson's disease. In this paper, we develop a sex-specific and age-dependent classification method to diagnose the Parkinson's disease using the online handwriting recorded from…
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener process and a compensated Poisson random measure. A major innovation of the paper is t…
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients depend on finitely many age-dependent semi-Markov processes. We further allow the vol…
Cointegration helps insurers understand long-range mortality patterns.
New model incorporates long-range dependence in mortality rates for better valuation and risk management.
Paper assesses how pandemic data impacts mortality models.
New approach models individual vitality for better mortality predictions.
In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk is due to the uncertain development of future mortality intensities, or {\it hazard rates}. In this paper, we develop a …
Various stochastic models have been proposed to estimate mortality rates. In this paper we illustrate how machine learning techniques allow us to analyze the quality of such mortality models. In addition, we present how these techniques can be used for differentiating the different causes of death in mortality modeling…
Study historical cholera epidemics and simulate long-term mortality impacts.
Satellite images predict U.S. county mortality rates.
Study identifies clusters of EU countries with similar young mortality patterns.
Develops a bi-variate stochastic framework to model mortality and interest rates with long-range dependence.
Study on excess mortality in Germany during 2020-21.
Study finds actuarial unfairness in China's pension system, proposing income-dependent annuitization rules.
The article presents a new non-parametric approach for forecasting mortality and fertility using Gaussian process regression.
Investigates RI strategies for life insurers with LRD mortality rates.
A risk of small defined-benefit pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to effectively pool mortality risk. This means that when there are few members in the scheme, there is an increased risk of the liability value deviating signifi…
Proposes a new model for mortality forecasting considering age groups and cohort effects.
This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a general state-space modelling methodology, which allows modelling, estimation and…
Study proposes a new model for joint survival annuity valuation.
In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned with abnormal cohort effects such as those for generations 1919 and 1920, for which the period tables provided by the Human Mortality Database …
Develops a GP framework for age and year-specific mortality surfaces.
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.
Study improves mortality prediction in hospital patients using comprehensive feature engineering.
Study uses zero-shot models to forecast mortality rates globally.
Jointly models cause-of-death mortality rates across multiple countries and genders.
Deep learning predicts ICU mortality with enhanced interpretability.
Deep learning predicts SAH patient mortality from initial CT scans.
Optimizes pension mix of PAYGO, EET, and individual savings.
This paper addresses the risk-minimization problem, with and without mortality securitization, à la Föllmer-Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework includes the situation where the correlation between the market model and the time o…
Bounds derived for contract values in life insurance with financial market interaction.
Two new models forecast multiple subpopulations' mortality, outperforming existing methods.
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…
Proposes Ada-Sit method for mortality prediction of rare diseases.
In this paper, we are concerned with the valuation of Catastrophic Mortality Bonds and, in particular, we examine the case of the Swiss Re Mortality Bond 2003 as a primary example of this class of assets. This bond was the first Catastrophic Mortality Bond to be launched in the market and encapsulates the behaviour of …
Study develops a dynamic risk model for COVID-19 mortality using UK Biobank data.
Optimal timing for converting savings into annuities considering mortality risk.
Late fusion of clinical notes and physiological data improves ICU mortality prediction.
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…
This paper solves the problem of optimal dynamic consumption, investment, and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect Gompertz' law and investment opportunities are constant. Healthcare slows the natural growth of mortality, indirectly increasing utility from c…
We study the effects of non-systematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the required capital per person is strong, but non-systematic risk diminishes rapidly…
We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as opposed to being deterministic, and (ii.) a consumer can adapt their consumption strategy to new information about their mortality rate (a.k.a. h…
Over the past decades, both critical care and cancer care have improved substantially. Due to increased cancer-specific survival, we hypothesized that both the number of cancer patients admitted to the ICU and overall survival have increased since the millennium change. MIMIC-III, a freely accessible critical care data…