Stochastic Systematic Mortality Risk Modeling Under Collateral Data And Actuarial Applications

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Stochastic Systematic Mortality Risk Modeling Under Collateral Data And Actuarial Applications

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Author : Joab Onyango Odhiambo
language : en
Publisher: Eliva Press
Release Date : 2023-03-26

Stochastic Systematic Mortality Risk Modeling Under Collateral Data And Actuarial Applications written by Joab Onyango Odhiambo and has been published by Eliva Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-03-26 with categories.

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.

Modelling Mortality With Actuarial Applications

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Author : Angus S. Macdonald
language : en
Publisher: Cambridge University Press
Release Date : 2018-05-03

Modelling Mortality With Actuarial Applications written by Angus S. Macdonald and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-03 with Business & Economics categories.

Modern mortality modelling for actuaries and actuarial students, with example R code, to unlock the potential of individual data.

Stochastic Mortality Models With Applications In Financial Risk Management

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Author : Siu Hang Li
language : en
Publisher:
Release Date : 2007

Stochastic Mortality Models With Applications In Financial Risk Management written by Siu Hang Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Stochastic Mortality Modelling With Levy Processes Based On Glm S And Applications

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Author : Seyed Saeed Ahmadi
language : en
Publisher:
Release Date : 2013

Stochastic Mortality Modelling With Levy Processes Based On Glm S And Applications written by Seyed Saeed Ahmadi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

Stochastic Mortality Modelling

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Author : Xiaoming Liu
language : en
Publisher:
Release Date : 2008

Stochastic Mortality Modelling written by Xiaoming Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

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.

Actuarial Applications And Estimation Of Extended Creditriskplus

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Author : Jonas Hirz
language : en
Publisher:
Release Date : 2017

Actuarial Applications And Estimation Of Extended Creditriskplus written by Jonas Hirz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

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.

Integrating Financial And Demographic Longevity Risk Models

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Author : Michael Sherris
language : en
Publisher:
Release Date : 2011

Integrating Financial And Demographic Longevity Risk Models written by Michael Sherris and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

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.

Stochastic Mortality Modelling

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Author : Xiaoming Jr Liu
language : en
Publisher:
Release Date :

Stochastic Mortality Modelling written by Xiaoming Jr Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.

Stochastic Modelling Of Actuarial Assumptions Using Chinese Data

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Author : Fei Huang
language : en
Publisher:
Release Date : 2015

Stochastic Modelling Of Actuarial Assumptions Using Chinese Data written by Fei Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

In this thesis, we develop stochastic economic and mortality models for actuarial use in China. Firstly, we conduct the first study of stochastic economic modelling with Chinese data for actuarial use. Univariate models, vector autoregression (VAR), and two cascade systems are described and compared. We focus on six major economic assumptions for modelling purposes. Granger causality tests are used to identify the driving force of a cascade system. Robust standard errors are estimated for each model. Diagnostic checking of residuals, goodness-of-fit measures and out-of-sample validations are applied for model selection. By comparing different models for each variable, we find that the equity-driving cascade system is the best structure for actuarial use in China. The forecasts of the variables could be applied as economic inputs to stochastic projection models of insurance portfolios or pension funds for short-term asset and liability cash flow forecasting. However, with the assumption that future trends will follow recent historical trends, this study could also be applied for long-term actuarial use. In addition, we project future mortality rates for actuarial use with Chinese data. The CMI (Continuous Mortality Investigation) Mortality Projections Model developed by the Institute and Faculty of Actuaries is applied for modelling purposes. The model adopts a convergence structure from "initial" to "long-term" rates of mortality improvement as the process of projection. The initial rates of mortality improvement are derived using a 2D P-Spline methodology, and are then decomposed into age/period and cohort components. Given the short history of Chinese data, the long-term rates of mortality improvement are determined by borrowing information from international experience. K-means clustering with Dynamic Time Warping (DTW) distance is used to classify populations, which is novel in the actuarial mortality research field. The original CMI approach is deterministic, however, in this paper we incorporate stochastic elements using techniques outlined by Koller (2011) and described by Browne et al. (2009). Comparing our results with a pure extrapolative approach, we find that the modified CMI Mortality Projections Model is more suitable for long-term projections in China. Further, we conduct the first study of long-term age-sex-specific mortality forecasting for subpopulations in different areas of China: cities, towns and counties using the modified CMI Mortality Projections Model. From the historical experience, we find that people in cities have lower mortality rates and higher mortality improvement rates than people in towns and counties for most ages. If this trend continues, the mortality of different areas will diverge further in the future. From the projection results, we find that there will be significant mortality and life expectancy differences between cities, towns and counties for both males and females. By conducting sensitivity analysis, we also find that the life expectancy differences could be reduced by incorporating higher long-term mortality improvement rates for towns and counties, or increasing the speed of convergence from ìnitial' to ̀long-term' mortality improvement rates for males in counties. Uncertainties are attached to the central estimates to overcome the limitations of the original CMI approach from which only deterministic results can be obtained.

Statistical And Probabilistic Methods In Actuarial Science

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Author : Philip J. Boland
language : en
Publisher: CRC Press
Release Date : 2007-03-05

Statistical And Probabilistic Methods In Actuarial Science written by Philip J. Boland and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-05 with Business & Economics categories.

Statistical and Probabilistic Methods in Actuarial Science covers many of the diverse methods in applied probability and statistics for students aspiring to careers in insurance, actuarial science, and finance. The book builds on students' existing knowledge of probability and statistics by establishing a solid and thorough understanding of