Study proposes a new model for joint survival annuity valuation.
problem Valuation of joint survival annuities and options.
method Linear-rational Wishart mortality model based on stochastic matrix affine process.
result Derives closed-form expression for joint survival annuity and option.
Bounds derived for contract values in life insurance with financial market interaction.
problem Incompleteness in life tables for modern insurance products.
method Derivation of upper and lower bounds for hybrid functionals of lifetime under different assumptions.
result Characterization of worst- and best-case contract values over compatible mortality processes.
The paper prices a new life insurance policy for couples, considering various contingent benefits.
problem Valuation of life insurance policies for dependent coupled lives.
method Employed the QP-rule combining real-world and risk-neutral measures for pricing. result Explicit pricing expressions for the new insurance policy were derived and analyzed.
Jointly models cause-of-death mortality rates across multiple countries and genders.
problem Modeling cause-of-death mortality rates in a multinational setting.
method Multi-Output Gaussian Processes (MOGP) with Kronecker-structured kernels and latent factors.
result Efficiently captures heterogeneity and dependence across different factor inputs.
Two new models forecast multiple subpopulations' mortality, outperforming existing methods.
problem Modeling mortality patterns and trajectories in related populations.
method Adapted multivariate functional principal component analysis techniques.
result The second proposed model outperforms existing methods in forecast accuracy.
Paper uses neural networks to calibrate Lee-Carter models for multiple populations.
problem Calibrating Lee-Carter models for multiple populations with neural networks.
method Developed neural network architectures to fit Lee-Carter and Poisson Lee-Carter models simultaneously.
result Smooth and less sensitive parameter estimates, improved forecasting performance.
Develops a unified framework for valuing insurance products with guarantees.
problem Valuing insurance products with guarantees in an affine setting.
method General affine approach to model financial markets, mortality, and policyholder behavior.
result Explicit valuation formulas for variable annuities and related contracts derived.
Optimal healthcare investment timing in a dynamic model with mortality risk.
problem Optimal timing of healthcare investment to reduce mortality risk.
method Dynamic framework, stochastic control, optimal stopping problem, dual transformation.
result Characterization of the optimal investment boundary and numerical solutions.
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 propose…
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…
Cointegration helps insurers understand long-range mortality patterns.
problem Insurers struggle to detect long-range dependence in their mortality data.
method Cointegration techniques applied to mixed fractional Brownian motion (mfBm) to capture long-range dependence.
result Cointegration brings long-range dependence information from national mortality data to insurers' models.
New model incorporates long-range dependence in mortality rates for better valuation and risk management.
problem Lack of appropriate models for valuing and managing mortality securities with long-range dependence.
method Proposes a novel class of Volterra mortality models that incorporate LRD, derived in closed-form solution.
result Models provide flexibility and tractability for valuing and hedging mortality-related products.
Paper assesses how pandemic data impacts mortality models.
problem Impact of pandemic data on mortality projections.
method Calibrated Li & Lee model with transformed weekly data.
result Impact quantified, scenarios generated for future mortality.
New approach models individual vitality for better mortality predictions.
problem Limited ability of existing mortality models to capture individual complexity.
method Developed a four-component framework for individual vitality dynamics.
result Demonstrates improved analytical and practical outcomes in life insurance and lifetime decision-making.
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.
problem Long-term impacts of mortality shocks on longevity.
method Historical analysis of cholera epidemics and mathematical modeling of stochastic Individual-Based models.
result Simulated long-term mortality impacts following a mortality shock.
Satellite images predict U.S. county mortality rates.
problem Predicting mortality rates in U.S. counties using satellite imagery.
method Convolutional neural network trained on crude mortality rates, learned features interpreted using Shapley Additive Feature Explanations.
result Predicted mortality from satellite images correlated strongly with true mortality rates (Pearson r=0.72).
Study identifies clusters of EU countries with similar young mortality patterns.
problem Identify clusters of EU countries with similar mortality patterns in young population.
method Symbolic data analysis (SDA) with age, gender, and main causes of death dimensions.
result Identified clusters of EU countries with similar mortality patterns in young population.
Develops a bi-variate stochastic framework to model mortality and interest rates with long-range dependence.
problem Captures long-range dependence and instantaneous correlation in mortality and interest rates.
method Mixed fractional Brownian motions, analytical solutions, risk-neutral measure, sequential parameter estimation.
result Explicit pricing of zero-coupon bonds and extreme mortality bonds, practical implications for pricing and risk management.
Study on excess mortality in Germany during 2020-21.
problem Analyzing excess mortality during the pandemic in Germany.
method Empirical study using official death counts.
result Provided conclusions for insurance businesses.
Study finds actuarial unfairness in China's pension system, proposing income-dependent annuitization rules.
problem Actuarial fairness in China's NDC pension system when mortality differs across income groups.
method Developed a mortality-differentiated Lee-Carter framework with group-specific baseline mortality schedules and a common period effect, estimated using national and subgroup data.
result Substantial actuarial unfairness in the current age-only divisor, with a reverse transfer from poorer to richer retirees.
The article presents a new non-parametric approach for forecasting mortality and fertility using Gaussian process regression.
problem Precise forecasting of demographic movements in developed countries.
method Gaussian process regression with natural cubic spline and spectral mixture covariance functions.
result The approach shows significant improvements in forecasting precision and robustness.
Investigates RI strategies for life insurers with LRD mortality rates.
problem Effect of long-range dependent mortality rates on RI strategies.
method Volterra mortality model, compound Poisson process, open-loop equilibrium mean-variance criterion.
result Explicit equilibrium RI controls derived and uniqueness studied.
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.
problem Longevity risk due to ageing population.
method Mixed-effects time-series approach with age groups dependency and random cohort effects.
result Remarkable improvements in forecast accuracy compared to the CBD model.
Integrative analysis of disparate data blocks measured on a common set of experimental subjects is a major challenge in modern data analysis. This data structure naturally motivates the simultaneous exploration of the joint and individual variation within each data block resulting in new insights. For instance, there i…
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…
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.
problem Learning the covariance structure of age and year-specific mortality surfaces.
method Genetic programming algorithm to search for the most expressive GP kernel.
result Reveals the presence/absence of cohort effects in different populations.
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.
problem Accurate prediction of all-cause in-hospital mortality in healthcare.
method Comprehensive feature engineering approach using vital signs, laboratory results, and demographic data.
result Random Forest model achieved highest performance with AUC of 0.94, significantly outperforming other models.
Study uses zero-shot models to forecast mortality rates globally.
problem Forecasting mortality rates without task-specific fine-tuning.
method Two state-of-the-art foundation models (TimesFM and CHRONOS) and traditional/machine learning methods were evaluated.
result CHRONOS outperformed traditional methods for shorter-term forecasts, but TimesFM consistently underperformed.
Optimal annuitization strategy depends on age, labor income, and mortality risk.
problem Maximizing utility from consumption and labor income under age-dependent mortality.
method Dynamic programming approach to derive closed-form solutions.
result Post-retirement labor income acts as a substitute for annuitization.
Deep learning predicts ICU mortality with enhanced interpretability.
problem Improving mortality prediction accuracy and clinician trust in AI.
method Trained a deep learning model on MIMIC-III to interpret nursing notes.
result Model reaches ROC of 0.8629, outperforming SAPS-II.
Deep learning predicts SAH patient mortality from initial CT scans.
problem High mortality rates in SAH patients.
method CNN-based algorithm using transfer learning on CT scans.
result Model accurately predicts mortality (74% accuracy, 82% AUC).
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…
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.
problem Data insufficiency and clinical diversity of rare diseases make mortality prediction hard.
method Initialization-sharing multi-task learning method (Ada-Sit) for fast adaptation to similar tasks.
result Experimental results show the proposed model is effective for mortality prediction of diverse 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.
problem Developing tools to monitor high-risk patients during the COVID-19 pandemic.
method Data-driven random forest classification model using baseline characteristics and symptoms.
result Model predicts COVID-19 mortality with excellent performance (AUC: 0.91), identifying novel predictors.
The paper analyzes optimal retirement timing considering age-dependent mortality risk.
problem Optimal retirement timing under age-dependent mortality risk.
method Formulated as a stochastic control and optimal stopping problem, transformed into a finite time horizon, three-dimensional degenerate optimal stopping problem.
result Existence of an optimal retirement boundary, characterized as a unique solution to a nonlinear integral equation.
Optimal timing for converting savings into annuities considering mortality risk.
problem Determining the best time to annuitize retirement savings under stochastic mortality.
method Formulated as a three-dimensional optimal stopping problem, reduced to nested one-dimensional problems, solved using PDMP structure.
result Rich structure for the optimal annuitization rule, covering various parameter specifications.
Late fusion of clinical notes and physiological data improves ICU mortality prediction.
problem Improving ICU mortality prediction using multimodal data.
method Late fusion of clinical notes and physiological time series data with a deep learning architecture.
result Late fusion approach provides statistically significant improvement in mortality prediction performance.
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…