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Hunt, A. "Mortality modelling and longevity risk management." Thesis, City University London, 2015. http://openaccess.city.ac.uk/13532/.
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The 20th century has witnessed some of the largest and most widespread gains in human longevity ever witnessed, which show no sign of slowing down during the early years of the 21st century. The risk of further, higher than anticipated improvements in life expectancy - known as longevity risk - is now a major and growing field of study. This thesis investigates a number of theoretical and practical problems within the field of longevity risk relating to the structure and identifiability issues within many of the most common models used to study mortality rates, the construction of new mortality models, the projection of these models into the future, the impact of differences in the level and evolution of mortality rates in different populations (such as pension schemes) and the market-consistent valuation and measurement of risk in longevity-linked liabilities and securities.
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Alrefai, Lila Ahmed. "Managing longevity risk for UK pension funds." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/17640.
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Mestrado em Actuarial ScienceAtualmente, as entidades gestoras de fundos de pensões têm mostrado alguma preocupação em relação ao risco dos seus participantes viverem mais do que o inicialmente esperado, assim como em relação ao impacto desta situação nas reservas mantidas pelos fundos para pagamento de pensões a partir da reforma. Não é novidade para quem trabalha nesta área de negócios que as taxas de mortalidade têm vindo a decrescer nos últimos anos a um ritmo acelerado. Esta tendência é motivada pelas melhorias na área da saúde, avanços tecnológicos e na capacidade das empresas e consultores financeiros de anteciparem este risco e limitar os seus efeitos, Não existindo um mercado real para monitorizar e calcular o risco atribuído ao fato da população viver até mais tarde, várias pesquisas têm vindo a ser conduzidas de modo a conseguir gerir melhor este risco, ao qual chamamos risco de longevidade. Este trabalho explora o risco de longevidade no mercado de fundo de pensões do Reino Unido, no contexto de um estágio curricular numa grande consultora internacional, e introduz modelos estocásticos estudados no passado, relacionando os mesmos com algumas ferramentas e software relevantes. O principal objetivo deste relatório foi estudar as transações usadas tipicamente para gerir o risco de longevidade. Uma aplicação de um dos modelos estocásticos usando o software R é também usada para o propósito desta análise, assim como para estimar os parâmetros do modelo e usar os resultados como uma possível ilustração.
It is no news to anyone in this industry that mortality rates have been decreasing faster year by year. Such a trend is driven by health improvements, technological advances, and the ability of firms and investment advisers to anticipate risk and limit its effects. Since there is no real market per say to monitor or calculate that risk attributed with people living longer, research has been extensively conducted to manage such risk. This risk is called longevity risk and it directly affects the mortality assumptions set by the team of actuaries conducting a valuation. In this paper we explore longevity risk in the UK pension fund market, in the context of an internship at a major consultancy, and introduce stochastic based models that have been studied in the past, relating these to some relevant tools and software. We emphasize the importance of managing this risk and present innovations in recent years that are related to longevity risk. Several investment techniques / financial products are introduced within the research paper. The focus of this paper was on the transactions that are used typically to manage longevity risk. An application of one of the stochastic models is used using R software package for the purpose of our analysis, so as to estimate the parameters for that model and use the results as a possible illustration.
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Schupp, Johannes [Verfasser]. "Trend processes in mortality models and management of the longevity risk / Johannes Schupp." Ulm : Universität Ulm, 2020. http://d-nb.info/1212443667/34.
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Bahl, Raj Kumari. "Mortality linked derivatives and their pricing." Thesis, University of Edinburgh, 2017. http://hdl.handle.net/1842/25499.
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This thesis addresses the absence of explicit pricing formulae and the complexity of proposed models (incomplete markets framework) in the area of mortality risk management requiring the application of advanced techniques from the realm of Financial Mathematics and Actuarial Science. In fact, this is a multi-essay dissertation contributing in the direction of designing and pricing mortality-linked derivatives and offering the state of art solutions to manage longevity risk. The first essay investigates the valuation of Catastrophic Mortality Bonds and, in particular, 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 a well-defined mortality index to generate payoffs for bondholders. Pricing this type of bond is a challenging task and no closed form solution exists in the literature. In my approach, we adapt the payoff of such a bond in terms of the payoff of an Asian put option and present a new methodology to derive model-independent bounds for catastrophic mortality bonds by exploiting the theory of comonotonicity. While managing catastrophic mortality risk is an upheaval task for insurers and re-insurers, the insurance industry is facing an even bigger challenge - the challenge of coping up with increased life expectancy. The recent years have witnessed unprecedented changes in mortality rate. As a result academicians and practitioners have started treating mortality in a stochastic manner. Moreover, the assumption of independence between mortality and interest rate has now been replaced by the observation that there is indeed a correlation between the two rates. Therefore, my second essay studies valuation of Guaranteed Annuity Options (GAOs) under the most generalized modeling framework where both interest rate and mortality risk are stochastic and correlated. Pricing these types of options in the correlated environment is an arduous task and a closed form solution is non-existent. In my approach, I employ the use of doubly stochastic stopping times to incorporate the randomness about the time of death and employ a suitable change of measure to facilitate the valuation of survival benefit, there by adapting the payoff of the GAO in terms of the payoff of a basket call option. I then derive general price bounds for GAOs by employing the theory of comonotonicity and the Rogers-Shi (Rogers and Shi, 1995) approach. Moreover, I suggest some `model-robust' tight bounds based on the moment generating function (m.g.f.) and characteristic function (c.f.) under the affine set up. The strength of these bounds is their computational speed which makes them indispensable for annuity providers who rely heavily on Monte Carlo simulations to calculate the fair market value of Guaranteed Annuity Options. In fact, sans Monte Carlo, the academic literature does not offer any solution for the pricing of the GAOs. I illustrate the performance of the bounds for a variety of affine processes governing the evolution of mortality and the interest rate by comparing them with the benchmark Monte Carlo estimates. Through my work, I have been able to express the payoffs of two well known modern mortality products in terms of payoffs of financial derivatives, there by filling the gaps in the literature and offering state of art techniques for pricing of these sophisticated instruments.
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Steuten, Daniel [Verfasser], Antje [Akademischer Betreuer] Mahayni, and Peter [Akademischer Betreuer] Anker. "Stochastic Mortality Modelling and Management of Longevity Risk with Pricing and Reserving Applications to Annuity Products / Daniel Steuten. Gutachter: Peter Anker. Betreuer: Antje Mahayni." Duisburg, 2013. http://d-nb.info/1034029894/34.
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Silva, Fabiana Lopes da. "Impacto do risco de longevidade em planos de previdência complementar." Universidade de São Paulo, 2010. http://www.teses.usp.br/teses/disponiveis/12/12136/tde-29112010-182036/.
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A evolução do aumento da expectativa de vida registrada nas últimas décadas foi uma conquista significativa para a sociedade e trouxe novos desafios em diversas áreas do conhecimento humano. Dentre os impactos do aumento da longevidade, destaca-se sua influência no equilíbrio técnico dos planos previdenciários. Nas entidades de previdência complementar, a identificação oportuna de possíveis desvios da premissa da mortalidade à realidade subjacente visa garantir a solvência e a manutenção dos benefícios de longo prazo. Assim, o presente estudo tem por objetivo estimar os fatores de improvement (fator redutor de mortalidade) para a população coberta por planos privados de aposentadoria, com base no método Lee-Carter e na abordagem CMI (Continuous Mortality Investigation), bem como analisar o impacto da incorporação da estimativa do aumento da expectativa de vida no fluxo de caixa atuarial em uma carteira de benefício definido. Em virtude da carência de informações históricas de tábuas de mortalidade para o Brasil, fez-se uso da técnica de pareamento (propensity score), o qual consiste na identificação do país que mais se assemelha ao Brasil no que se refere às variáveis socioeconômicas relevantes para prever a evolução da expectativa de vida. Essa técnica foi aplicada para uma amostra de 21 países da OCDE. As variáveis socioeconômicas consideradas no estudo foram: Fertilidade, PIB per capita, Crescimento anual do PIB, Saúde, Desemprego, Gini, Analfabetismo e Escolaridade. Diante dos testes efetuados, Portugal foi escolhido para servir de base para as projeções da mortalidade e obtenção dos fatores de improvement, em decorrência da técnica de pareamento e do teste de aderência realizado. Comparando-se as médias dos fluxos de caixa da AT-2000 com e sem improvement e levando-se em consideração os cenários de taxas de juros de 3%, 4%, 5% e 6% ao ano, observou-se que, não considerar o improvement, gera uma elevação do fluxo atuarial entre 7,15% a 10,51% para a carteira simulada. A projeção pelo método CMI forneceu resultado semelhante, sendo que o impacto variou entre 7,05% a 10,32%. Embora os métodos de improvement sejam bem diferentes, é importante destacar que os resultados foram bem semelhantes. Um ponto que merece preocupação é a questão da taxa de juros, pois com a tendência de queda, no longo prazo, maior será a sensibilidade do impacto da projeção do risco de longevidade. Adicionalmente, compararam-se os resultados obtidos com a Tábua Geracional RP-2000 e a Tábua SUSEP BR-EMS. Assim, os resultados anteriores mostram que não considerar a tendência de aumento da expectativa de vida na constituição das provisões técnicas pode expor as entidades de previdência a riscos pouco suportáveis no longo prazo.The evolution of increased life expectancy recorded in recent decades has been a significant achievement for the society and brought new challenges in various areas of human knowledge. Among those, living longer has impacted the technical balance of the pension plans. In the private pension entities, the timely identification of possible deviations from the assumption of mortality to the underlying reality is to ensure the solvency and the maintenance of long-term benefits. Thus, based on Lee-Carter method and approach CMI (Continuous Mortality Investigation Bureau), this study aims to estimate the factors of improvement (reduction factor of mortality) for the population covered by pension plans as well as analyze the impact of incorporating an estimated longer life expectancy on actuarial cash flow into a portfolio of defined benefits. Due to a lack of historical information about mortality tables of Brazil, the matching technique (propensity score) was used to identify the country which is the most similar to Brazil concerning relevant socioeconomic variables, in order to predict the evolution of life expectancy. This technique was applied on 21 OECD sample countries. Socioeconomic variables considered were: Fertility, GDP per capita, annual growth of GDP, Health, Unemployment, Gini, Illiteracy and Schooling. According to test results, Portugal was chosen as the basis for projections of mortality and acquisition of factors of improvement, due to the matching technique and the adherence test performed. Comparing the averages of the cash flows of the AT-2000 with and without improvement and taking into account the scenarios of interest rates of 3%, 4%, 5% and 6% a year, it was observed that not considering the improvement generates an increased actuarial flow between 7.15% and 10.51% for the simulated portfolio. The CMI method provided similar projection, and the impact varied from 7.05% to 10.32%. Even though the methods of improvement are quite different, it is important to emphasize that the results were much the same. One point that deserves concern is the issue of interest rate since, due to the declining trend in the long run more sensitive will be the impact of the projection of longevity risk. Additionally, those results were compared with the table Generational RP-2000 and BRTable SUSEP EMS. Thus, previous results show that not considering the trend of increasing life expectancy in the establishment of technical provisions can expose the private pension entities to a little bearable risk in the long term.
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Mellkvist, Lars. "Den andres bröd : Levnadsrisk utifrån Lee-Cartermodellen." Thesis, Uppsala University, Department of Economics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-9227.
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Under det gångna århundradet ökade den förväntade livslängden avsevärt såväl i Sverige som i övriga världen. 1900-talets förbättrade livslängd drevs inledningsvis av en minskad barnadödlighet medan de senare årtiondena kännetecknades av minskad dödlighet i höga åldrar.
En åldrande befolkning innebär ökade krav på sjukvård, äldreomsorg och inte minst pensionssystem. Pålitliga prognoser för vår framtida livslängd behövs för att beräkna de resurser som nämnda verksamheter kommer att ta i anspråk och utgör förutsättningen för en rättvis prissättning av försäkringsprodukter med levnadsrisk.
Lee-Carter-modellen är en av vår tids tongivande modeller för mortalitetsprognostisering. Modellen används här för att göra livslängdsprognoser utifrån svenska mortalitetsdata; prognoserna jämförs sedan med observerade utfall.
Mot bakgrund av resultatet diskuteras levnadsrisk med fokus på pensioner.
Inte oväntat presterar prognoserna ingen felfri bild av verkligheten och prognosfelet varierar i storlek mellan skattningarna; att använda dem som underlag för pensionsberäkningar hade i förlängningen varit ohållbart. Exemplet illustrerar på samma gång vår osäkerhet inför framtidens livslängdsutveckling och svårigheten i att prognostisera den.
During the past century, Sweden along with many other countries experienced a sharp decline in mortality rates. The increased life expectancy was initially propelled by mortality reductions among infants and subsequently by a survival improvement in advanced ages.
An ageing population has large implications for those providing services to the elderly, such as medical care and pensions, whilst also addressing the need for accurate and reliable mortality forecasts and projection methods.
The Lee-Carter model is the current gold standard for mortality forecasting and has been widely adopted in several studies. Here, the model is applied on Swedish mortality data; the projections are then compared to the observed lifespan development. Against this backdrop, a discussion on longevity risk in pensions schemes follows.
The forecasts performed in this study do not perfectly reflect the observed mortality change in the examined period; furthermore, the variation of the estimation errors limits the actuarial value of the projections. The findings illuminate the uncertainty that surrounds our future life expectancy as well as the difficulties associated with forecasting it.
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Lovász, Enrico. "Modellierung stochastischer Mortalitätsraten zur Verbriefung von Langlebigkeitsrisiken." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2012. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-81666.
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In der Arbeit wird die Verbriefung von Mortalitätsrisiken mit dem Schwerpunkt der Modellierung des Langlebigkeitsrisikos bei Extremereignissen analysiert. Nach dem Aufzeigen der Vor- und Nachteile bereits existierender Wertpapiere für Mortalitätsrisiken wird der in dieser Arbeit verwendete hypothetische Langlebigkeitsbond präsentiert.
Zentraler Bestandteil dieser Anleihe ist ein parametrisches Modell mit einem Sprungprozess und der Extremwerttheorie für die Berechnung zukünftiger Sterblichkeitsraten. Dieser Ansatz der Verbriefung von Mortalitätsrisiken ist neu. Es bietet die Vorteile die Steigerung der Überlebenswahrscheinlichkeit der vergangenen Jahre besser zu erfassen und seltene (extreme) Ereignisse, welche signifikante Auswirkungen auf die Sterberaten haben, zu berücksichtigen.
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Chen, Liang. "Small population bias and sampling effects in stochastic mortality modelling." Thesis, Heriot-Watt University, 2017. http://hdl.handle.net/10399/3372.
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Pension schemes are facing more difficulties on matching their underlying liabilities with assets, mainly due to faster mortality improvements for their underlying populations, better environments and medical treatments and historically low interest rates. Given most of the pension schemes are relatively much smaller than the national population, modelling and forecasting the small populations' longevity risk become urgent tasks for both the industrial practitioners and academic researchers. This thesis starts with a systematic analysis on the influence of population size on the uncertainties of mortality estimates and forecasts with a stochastic mortality model, based on a parametric bootstrap methodology with England and Wales males as our benchmark population. The population size has significant effect on the uncertainty of mortality estimates and forecasts. The volatilities of small populations are over-estimated by the maximum likelihood estimators. A Bayesian model is developed to improve the estimation of the volatilities and the predictions of mortality rates for the small populations by employing the information of larger population with informative prior distributions. The new model is validated with the simulated small death scenarios. The Bayesian methodologies generate smoothed estimations for the mortality rates. Moreover, a methodology is introduced to use the information of large population for obtaining unbiased volatilities estimations given the underlying prior settings. At last, an empirical study is carried out based on the Scotland mortality dataset.
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Herculano, Miguel Colburn. "Modelling long-term worker´s compensation : an application to a general insurance company." Master's thesis, Último nome, Primeiro nome. data de publicação. "Título". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/6043.
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Mestrado em Ciências ActuariaisThis paper resumes the main findings from modeling life underwriting risks to which Worker´s Compensation is exposed. Models presented aim to shorten the path between ad hoc procedures in place and the new capital requirements foreseen by Solvency II. The legal framework of this line of business is primarily explained as it is determinant for modeling purposes. We then provide a discussion about risk models in use, major options, assumptions and other relevant issues that were regarded when modeling this line of business.
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Ainou, Viou. "La gestion du risque de longévité et évaluation de produits dérivés." Thesis, Lyon 1, 2013. http://www.theses.fr/2013LYO10127.
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Nous proposons dans cette thèse, d'étudier le risque de longévité et son impact sur les assureurs et fournisseurs de plans de retraite. Dans la première partie, nous nous intéressons aux différents modèles de mortalité. Partant de cette revue de littérature, nous proposons une extension, par l'utilisation des processus de Lévy, du modèle dit CBD qui tiendra compte des effets de sauts dans la courbe de mortalité. Ce nouveau modèle servira, dans la deuxième partie de la thèse, de sous-jacent à l'évaluation de dérivés de longévité. Nous utilisons comme mesures d'évaluation les transformées dites de Wang et de Esscher que nous aurons au préalable défini et justifié comme étant des mesures martingales équivalentes à la mesure historique. Nous proposons enfin un nouveau contrat appelé « mortality collar » qui, de par sa définition, permet une couverture efficace contre le risque de longévité / mortalité, aussi bien pour un assureur que pour un fonds de pension. Nous apportons une analyse approfondie de cet outil de gestion du risque aussi bien dans son mécanisme, que dans son évaluationThis thesis discuss about the longevity / mortality risk and its impact on pension funds and insurers. In the first part, we consider and expose the different mortality models. The state of art done, we propose an extension, using the Lévy processes, of the well-known model CBD. The Lévy processes are considered to take in account of jumps in mortality curve. The new model will be used, in the second part of this thesis, as underlined index to value the longevity derivatives. We use the Wang and Esscher Transforms as martingales measure because of incompleteness of the longevity market. These two measures are, beforehand, defined and the ways they represent pricing measures are exposed. Finally, we propose a new contract “the mortality collar”, which is a hedging instrument against the longevity or mortality risk, as well as for insurer, but also for pension fund. We give a complete analysis of this new management tool regarding its mechanism and its pricing
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Sousa, Hosana Rachel Bessa de. "Modelação do risco de longevidade." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/18097.
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Mestrado em Econometria Aplicada e PrevisãoA gestão do risco é um dos temas mais discutidos dentro das instituições financeiras do mundo inteiro. O controlo efetivo do risco e sua mensuração é de extrema importância, permitindo a uma empresa se manter estável, prever possíveis perdas e até mesmo reduzir consideravelmente perdas em momentos de instabilidades. No âmbito das empresas que operam no ramo vida, a longevidade é um dos temas que tem assumido cada vez mais materialidade, quer pelo desenvolvimento da medicina, quer pelo desenvolvimento tecnológico que permite maior acesso ao conhecimento e consciencialização da população sobre prevenção de doenças. Neste sentido, as empresas de seguros de vida têm o desafio de gerir o risco de longevidade, tendo em conta técnicas realistas face à sua população segurada e ao perfil de risco da companhia. Com o Solvência II, o risco de longevidade passou a ser mandatário de ser calculado para as seguradoras da União Europeia que estão expostas a este risco. A Diretiva 2009/138/CE definiu a fórmula padrão para o seu cálculo. No entanto, a mesma Diretiva permitiu a utilização de modelos internos, por parte das empresas de seguros, mediante aprovação do regulador. O objetivo deste trabalho é modelar a mortalidade e mensurar o risco de longevidade com dados da população portuguesa, considerando três modelos distintos, nomeadamente os modelos de Lee Carter, Age-Period-Cohort e Cairns, Blake and Dowd. Estes resultados serão comparados com o cálculo do risco de longevidade, tendo em conta a metodologia proposta pela fórmula padrão.
Risk management is one of the most discussed topics within financial institutions around the world. Effective risk control and its measurement are extremely important, allowing the company to remain stable, predict possible losses and even reduce them significantly in unstable periods. In the context of life insurance companies, longevity is one of the topics that has assumed more importance, due to the evolution of medicine and the technological development that enables greater access to knowledge and awareness of the population on disease prevention. In this sense, life insurance companies have the challenge of managing the longevity risk applying realistic techniques to their insured population and to the risk profile of the company. Under Solvency II, the longevity risk, became mandatory for European Union insurers who are exposed to this risk. The Directive 2009/138/EC defines a standard formula for calculating this risk. It also allows the use of internal models by insurance companies, upon approval by the Regulatory Authority. The goal of this work is to model mortality and measure the longevity risk using data from the Portuguese population. We consider three different mortality models, namely the models of Lee Carter, Age-Period-Cohort and Cairns, Blake and Dowd. In addition, these results are compared with the longevity risk calculation considering the standard formula.
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Pateiro, Daniela Alexandra Dinis. "Construção de tábuas de mortalidade dinâmicas para o mercado português de fundos de pensões e avaliação do risco de longevidade." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11254.
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Mestrado em Ciências ActuariaisOs aumentos de longevidade registados nas últimas décadas a nível mundial constituem um desafio para o setor de fundos de pensões, especialmente no que diz respeito à adequada avaliação das responsabilidades associadas a planos de pensões de benefício definido e à própria gestão do risco de longevidade. O estudo centra-se na construção de tábuas de mortalidade dinâmicas para a população portuguesa de fundos de pensões e na avaliação do risco de longevidade, tendo sido motivado, entre outras razões, pelas propostas da Autoridade Europeia dos Seguros e Pensões Complementares de Reforma (EIOPA), em matéria de requisitos quantitativos. Tais propostas surgiram no âmbito do processo de revisão da diretiva relativa às atividades e à supervisão das instituições de realização de planos de pensões profissionais, a Diretiva IORP. A análise da evolução dinâmica da mortalidade da população de fundos de pensões é bastante relevante, tanto para efeitos de regulação e de supervisão, como pela possibilidade de suscitar um referencial nacional que incentive a aplicação de tábuas que incorporam perspetivas futuras de incremento de longevidade.
The increase of longevity registered worldwide in the last decades represents a challenge to the pension funds sector, especially in what concerns the adequate valuation of the liabilities stemming from defined benefit pension plans and the longevity risk management. This report focuses on the development of dynamic life tables for the Portuguese pension funds population and on the longevity risk assessment. This study was motivated by the proposals of the European Insurance and Occupational Pensions Authority (EIOPA) on quantitative requirements, under the review of the IORP Directive on the activities and supervision of institutions for occupational retirement provisions. Studying the dynamic evolution of this population?s mortality is rather important, not only for regulation and supervisory purposes, but also for the possibility of evoking a national referential that encourages the application of tables incorporating future longevity increments.
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Ventura, Ana Cristina Alves. "Tratamento dos mecanismos de mitigação de risco através da transferência de riscos de seguros para o mercado financeiro." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2234.
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Mestrado em Ciências ActuariaisO presente trabalho tem como principal objectivo fornecer um contributo ao nível dos estudos realizados sobre o regime Solvência II, que visa implementar um novo sistema de solvência para as empresas de seguros e resseguros na União Europeia. Pretende-se apresentar uma avaliação do impacto da utilização de mecanismos de mitigação do risco (securitização) através da transferência de alguns riscos técnicos de seguros, mais concretamente do ramo Vida, para o mercado financeiro, analisando o seu impacto nas provisões técnicas, nos requisitos de capital e no processo de supervisão. Assim, serão criados dois produtos que pretendem transferir para os mercados financeiros os riscos técnicos de seguros, mais concretamente os riscos de longevidade e de mortalidade, realizando-se uma avaliação em ambiente de Solvência 2 através do cálculo das provisões técnicas e dos requisitos de capital. Posteriormente um deles será avaliado numa óptica de investidor, utilizando duas metodologias distintas: a Transformada de Wang e uma abordagem neutra face ao risco.
The major goal of this dissertation is to make a contribution to the current studies about Solvency II which aims to implement a new solvency system for the insurance and reinsurance companies in the European Union. It is intended to evaluate the impact of some risk mitigation mechanisms (securitization), through a transfer of some technical insurance risks (Life Risks) into the financial markets, with the consequent analysis of its impact in technical provisions, capital requirements and supervision processes. As a means to further evaluate risk mitigation mechanisms in context to Solvency 2, two unique products were derived that transferred the technical insurance risks, such as longevity and mortality, into the financial markets. Ultimately, one of the products was priced accordingly with investor's sentiment, using two different methodologies, namely Wang Transform and a risk neutral valuation.
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Antero-Jacquemin, Juliana. "Longevity and causes of mortality in elite athletes." Thesis, Sorbonne Paris Cité, 2015. http://www.theses.fr/2015USPCB154/document.
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Cette thèse a démontré que les athlètes élites vivent en moyenne 7 ans de plus que la population générale, notamment en raison d’une réduction de 35 à 45% de la mortalité par maladies cardiovasculaires et par cancers. Ces résultats s’appuient sur l’analyse de l’ensemble des sportifs français (n= 3.600) ayant participé aux Jeux Olympiques depuis 1912 et au Tour de France depuis 1947. Des nouvelles méthodes en analyse de survie ont été mises au point pour investiguer ces cohortes qui ont la particularité de survivre mieux que leurs référents. A ces démonstrations s’ajoute le ralentissement de la progression de la longévité maximale humaine. Ce constat résulte de la comparaison des tendances de durée de vie de tous les olympiens depuis 1896 (n= 19.012) et des doyens de l’humanité (n= 1.205). Ces travaux répondent au besoin de mieux comprendre la relation dose-réponse de l’activité physique, médicament du 21ème siècle, en raison de son impact majeur sur la longévité des populations, ainsi qu’à l’intérêt d’explorer les marges d’augmentation possibles de cette longévitéBackground and objectives: along their careers, elite athletes are subjected to specific constraints that distinguish them from the general population. Such constraints, related to the high intensity of their physical activity, their overexposure to injuries or particular lifestyle, may have long-term consequences on the athletes' health, and ultimately on their longevity. Thus, the main goals of the present study are the following: 1) to describe and analyze elite athletes’ longevity and specific causes of mortality in comparison with the general population and according to the type of effort they performed; and 2) to investigate their lifespan trends in comparison with the longest-lived humans in order to apprehend the current scenario of human longevity trends. Methods: we collected data on the biography and the athletic performances of all the French athletes who participated in the Olympic Games (OG) from 1912 to 2012 (n = 4708), and all the French cyclists who participated in the Tour de France (TDF) from 1947 to 2012 (n=786). Then, we verified their vital statuses through the National Registry of Identification of Physical Persons (RNIPP). For the deceased athletes, we obtained the causes of their deaths through the Centre for epidemiology on medical causes of death (CépiDc). We compared the athletes’ overall and specific mortality (according to the main chapters of the International Classification of Disease) with the French civilian life tables using Standardized Mortality Ratio (SMR) and the Kaplan-Meier methods. We adapted and applied the life years-lost method under the competing risk model to quantify differences on longevity due to major causes of death according to the athletes’ type of effort. Furthermore, we collected data on worldwide deceased Olympians participating in the OG from 1896 to 2012 (n=19 012) and on worldwide supercentenarians (>110 years) deceased between 1900 and 2013 (n= 1 205) in order to analyze their lifespan trends using a density analysis tool (total number of life durations per birth date). Findings and conclusion: French elite athletes show consistently lower mortality (≈40-50% lower) in comparison with their compatriots, whether female or male Olympians, or professional cyclists, mostly related with a lower cardiovascular (≈ 40-60% lower) and cancer mortality (≈ 45% lower). No excess mortality was observed in elite athletes for any of the specific causes of death we studied. French Olympians’ lower mortality results in an average of seven years of life saved in relation to the general population. This gain partitioned according to specific causes of deaths shows that cardiovascular longevity benefit is associated with the type of sports practiced during the Olympic career, favoring combined type of effort over very short- or very long-duration effort. In relation to cancer mortality, all types of effort studied were associated with better longevity. Despite their survival advantage, no Olympian in the world, up to date, has ever reached the status of a supercentenarian, as the longest-lived was 106 years old. The common lifespan trends between Olympians and supercentenarians indicate similar mortality pressures over both populations that increase with age, a scenario that is better explained by a biological “barrier” limiting further progression. The supercentenarians’ density trends show a current stagnation of the human longevity
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Correia, Tiago José Faria. "A mortality & longevity study : the portuguese case." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16980.
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Mestrado em Actuarial ScienceEste trabalho foi desenvolvido com três objetivos principais: (i) fazer o survey da situação atual, no que diz respeito à mortalidade/longevidade no nosso país; (ii) desenvolver um estudo breve sobre os progressos registados na mortalidade em Portugal, com base num projeto semelhante apresentado por Assia Billing, no encontro da Primavera do Mortality Working Group da International Actuarial Association (Berlim, 2018) - grupo que se dedica ao estudo da mortalidade a nível mundial, dando particular atenção ao impacto que esta tem sobre o sector segurador, nomeadamente o ramo de Vida e Pensões; (iii) servir como suporte ao primeiro Country Report português, a ser divulgado pelo Mortality Working Group. No decorrer do trabalho, e tendo em vista os três objetivos estabelecidos, irão ser primeiramente analisados indicadores demográficos, como a evolução da população residente portuguesa, a sua pirâmide populacional, o índice de envelhecimento e a esperança de vida. Numa segunda parte, o foco incidirá sobre o sector segurador português, com a análise de indicadores como a produção ou a composição dos portfolios de investimento. Seguidamente, faz-se a análise dos produtos mais vendidos em Portugal, por tipo de contrato. No que diz respeito às tábuas de mortalidade, merecem destaque as que são publicadas anualmente pelo INE, bem como as que são mais utilizadas nas seguradoras que operam no território nacional. Finalmente, desenvolver-se-á a análise dos progressos registados mais recentemente a nível da mortalidade no país, na senda de estudos similares desenvolvidos para outros países.
This work was developed with three main objectives: (i) to survey the current situation, regarding mortality/longevity in Portugal; (ii) to develop a brief study on the progress of mortality in the country, based on a similar project presented by Assia Billing in the Spring Meeting (Berlin 2018) of the International Actuary Association Mortality Working Group ? a group that is dedicated to the study of mortality worldwide, paying particular attention to the impact it has on the insurance sector, namely on Life and Pensions ; (iii) to serve as support for the first Portuguese Country Report to be released by the Mortality Working Group,. In the course of the study, demographic indicators, such as the evolution of the Portuguese resident population, the population pyramid, the aging index and the life expectancy, will be analyzed first. Then, the focus will be set on the Portuguese insurance sector, with the analysis of indicators such as the production or the composition of investment portfolios. Next, we analyze Portugal?s mostly sold insurance products, by type of contract. Regarding the mortality tables, it is worth mentioning those published annually by INE, as well as those that are most used by insurers operating in the national territory. Finally, an analysis of the most recent progress in mortality in the country will be performed, following similar studies developed for other countries.
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Weber, Frederik. "Longevity risk impact, evaluation, management." Karlsruhe VVW, 2009. http://d-nb.info/1000446581/04.
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Lu, Yang. "Analyse de survie bivariée à facteurs latents : théorie et applications à la mortalité et à la dépendance." Thesis, Paris 9, 2015. http://www.theses.fr/2015PA090020/document.
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Cette thèse étudie quelques problèmes d’identification et d’estimation dans les modèles de survie bivariée, avec présence d’hétérogénéité individuelle et des facteurs communs stochastiques.Chapitre I introduit le cadre général.Chapitre II propose un modèle pour la mortalité des deux époux dans un couple. Il permet de distinguer deux types de dépendance : l’effet de deuil et l’effet lié au facteur de risque commun des deux époux. Une analyse de leurs effets respectifs sur les primes d’assurance écrites sur deux têtes est proposée.Chapitre III montre que, sous certaines hypothèses raisonnables, on peut identifier l’évolution jointe du risque d’entrer en dépendance et du risque de mortalité, à partir des données de mortalité par cohortes. Une application à la population française est proposée.Chapitre IV étudie la queue de distribution dans les modèles de survie bivariée. Sous certaines hypothèses, la loi jointe des deux durées résiduelles converge, après une normalisation adéquate. Cela peut être utilisé pour analyser le risque parmi les survivants aux âges élevés. Parallèlement, la distribution d’hétérogénéité parmi les survivants converge vers une distribution semi-paramétriqueThis thesis comprises three essays on identification and estimation problems in bivariate survival models with individual and common frailties.The first essay proposes a model to capture the mortality dependence of the two spouses in a couple. It allows to disentangle two types of dependencies : the broken heart syndrome and the dependence induced by common risk factors. An analysis of their respective effects on joint insurance premia is also proposed.The second essay shows that, under reasonable model specifications that take into account the longevity effect, we can identify the joint distribution of the long-term care and mortality risks from the observation of cohort mortality data only. A numerical application to the French population data is proposed.The third essay conducts an analysis of the tail of the joint distribution for general bivariate survival models with proportional frailty. We show that under appropriate assumptions, the distribution of the joint residual lifetimes converges to a limit distribution, upon normalization. This can be used to analyze the mortality and long-term care risks at advanced ages. In parallel, the heterogeneity distribution among survivors converges also to a semi-parametric limit distribution. Properties of the limit distributions, their identifiability from the data, as well as their implications are discussed
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Md, Lazam N. B. "GDP-related mortality model for insurance pricing and longevity securitisation." Thesis, University of Liverpool, 2017. http://livrepository.liverpool.ac.uk/3011219/.
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Lin, Yijia. "Mortality Risk Management." Digital Archive @ GSU, 2006. http://digitalarchive.gsu.edu/rmi_diss/14.
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This is a multi–essay dissertation in the area of mortality risk management. The first essay investigates natural hedging between life insurance and annuities and then proposes a mortality swap between a life insurer and an annuity insurer. Compared with reinsurance, capital markets have a greater capacity to absorb insurance shocks, and they may offer more flexibility to meet insurers’ needs. Therefore, my second essay studies securitization of mortality risks in life annuities. Specifically I design a mortality bond to transfer longevity risks inherent in annuities or pension plans to financial markets. By explicitly taking into account the jumps in mortality stochastic processes, my third essay fills a gap in the mortality securitization modeling literature by pricing mortality securities in an incomplete market framework. Using the Survey of Consumer Finances, my fourth essay creates a new financial vulnerability index to examine a household’s life cycle demand for different types of life insurance.
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Brugiavini, Agar. "Longevity risk and the life cycle." Thesis, London School of Economics and Political Science (University of London), 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.261971.
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Engblom, Linda. "Culling and mortality among Swedish crossbred sows /." Uppsala : Dept. of Animal Breeding and Genetics, Swedish University of Agricultural Sciences, 2008. http://epsilon.slu.se/20087.pdf.
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Montero, Andrey David Ugarte. "New insights into mortality and longevity : the cases of France, Czech Republic, and USA." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/18075.
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Mestrado em Actuarial ScienceO objetivo principal deste trabalho é compreender melhor a dinâmica por detrás das alterações na longevidade. França, República Checa e Estados Unidos da América foram os países selecionados para estudo cujo objetivo é, não só, quantificar as alterações, mas também estimar as contribuições atribuíveis aos diferentes grupos etários em função da causa de morte segundo a classificação de doença estabelecida na International Classification of Diseases (ICD). Para tal, com base nos algoritmos desenvolvidos por Andreev (2002) e Arriaga (1984,1989), foi efetuada uma análise atuarial que permitiu, a partir de dados em bruto, obter algumas respostas sobre a origem das mudanças na longevidade experienciadas nestes três países. Depois de descrito e identificado o problema bem como a metodologia aplicada, é apresentada uma análise exaustiva dos resultados, distribuída em três capítulos, para o período compreendido entre 1970 e 2012. Numa primeira fase são decompostas, por país, as alterações evolutivas da esperança de vida à nascença. No capítulo seguinte, dáse especial atenção à forma como a diferença de género afeta a esperança de vida à nascença: evolução temporal em função do género e causa de morte. Por fim, no último capítulo dos referidos, com o objetivo de perceber melhor a evolução da longevidade nas idades mais avançadas é apresentado e analisado o novo conceito de life preparancy para o percentil 25 da idade de 60 anos.
The main objective of this work is to create more knowledge on the dynamics behind longevity changes. France, Czech Republic and the United States haven been chosen as case studies. This knowledge focuses not only on quantifying the changes but also on estimating the attributable contributions for different age groups and mortality chapters, as defined by the International Classification of Diseases (ICD). In order to achieve this, an actuarial analysis of mortality data is carried out by making use of algorithms developed by Andreev (2002) and Arriaga (1984,1989) that allow to transform raw information into answers about the origin of the longevity changes experienced in these three countries. After providing all general details to understand the problem and the methodology used, an extensive analysis of results, separated in three chapters, is presented for the time period going from 1970 to 2012. Firstly, the estimated decomposition of changes in life expectancy at birth is analyzed for each country. After this, attention will be placed on the gender gap in life expectancy at birth: its evolution in time, and origin in terms of age groups and mortality chapters. Finally, in order to understand longevity evolution at a more senior age, the emerging concept of life preparancy is introduced and analyzed for the 25th percentile and age 60.
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Rainham, Daniel Gareth Charles. "Atmospheric risk factors of human mortality." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ59869.pdf.
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Yektye, Farahmand Bahman. "Hip fracture : risk factors and mortality /." Stockholm, 2001. http://diss.kib.ki.se/2001/91-628-4741-4/.
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Panniyammakal, Jeemon. "Studies of mortality risk predictors in hypertensive patients." Thesis, University of Glasgow, 2013. http://theses.gla.ac.uk/4031/.
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Hypertension is a leading cause of death and disability worldwide. Despite effective treatment regimens the mortality among hypertensive subjects are much higher than that of normal individuals. Several studies have been carried out to identify prognostic factors that have predictive value for mortality in the general population. New biomarkers that are readily available and cost-effective are important in risk stratification and management of hypertension. While important prognostic information can be learned from routine blood tests that are often conducted in hypertension clinics, the usefulness of these markers in predicting survival are not studied in detail. The thesis aims to explain the relationship between such inexpensive and commonly available markers and survival in a hypertensive population. The thesis is divided into five main results chapters (chapters 3 to 7) based on studies conducted to assess the independent role of blood pressure variability (BPV), haematocrit, serum phosphate, serum electrolytes and indices of liver dysfunction or injury in predicting mortality in hypertensive patients. The study settings (Glasgow Blood Pressure Clinic) provided an opportunity to examine these relationships in a treated hypertensive cohort of more than 15,000, predominantly white population, from the West of Scotland. The hypertension clinic database was linked with the electronic records of General Register Office for Scotland. This electronic linking allowed extraction of primary cause of death data (if patients died during the course of follow-up) according to the International Classification of Diseases, 10th Revision, Version for 2007 (ICD-10), codes. The type of mortality was ascertained (namely; ischaemic heart disease, stroke, cardiovascular, non-cardiovascular and all-cause) from the ICD-10 codes. The independent relationships between predictor variables of interests and mortality were estimated after employing appropriate survival models. The main study findings are summarised below. Blood pressure variability and mortality: Long term average BPV is an independent predictor of mortality. Longitudinal changes in BPV also predict mortality independent of underlying mean BP. While sustained high variability increases mortality, sustained low variability decreases mortality in this hypertensive cohort. The findings indicate that BPV is likely a fundamental physiologic trait and it is a marker of early mortality. Visit-to-visit BPV is an important prognostic indicator of long-term mortality, and physicians should be made aware that long term clinic BPV should not be disregarded as random fluctuation between visits. Haematocrit and mortality: Haematocrit (Hct) is the proportion of blood volume occupied by red blood cells. It is associated with follow-up BP and is an independent predictor of mortality in the hypertensive population. There are distinct differences both in terms of the strength and magnitude of the association of Hct and mortality between men and women that have not previously been known. While Hct is associated with CV mortality in men ('U' shaped, non-linear), it is more closely associated with non-CV mortality in women ('U' shaped, non-linear). In the assessment and management of newly diagnosed hypertensive patients, Hct levels should be taken into consideration as an important risk predictor. Serum phosphate and mortality: Inorganic phosphate is an important mineral that is directly linked to energy metabolism, bone mineralisation, signal transduction, storage and translation of genetic information and maintenance of lipid membrane structure. A positive linear association between serum phosphate and mortality is reported in the present study. Deprivation status, serum calcium and serum alkaline phosphatase levels do not attenuate the mortality risk associated with serum phosphate in men and women. While serum phosphate is associated with CV mortality in men, it is more closely associated with non-CV mortality in women. Serum electrolytes and mortality: Electrolytes, especially sodium, chloride, potassium and bicarbonates, play a vital role in maintaining homeostasis within the human body. While the relationship with all-cause mortality is non-linear across the entire range of serum chloride, there is a linear increase in mortality with decrease in serum chloride level below 100 mEq/L. The relationship between serum chloride and mortality is independent of serum sodium and bicarbonate levels. While serum potassium shows a non-linear "U" shaped relationship with mortality, serum bicarbonate shows a positive linear association. Indices of liver dysfunction or liver injury and mortality: Serum albumin, bilirubin, alanine transaminase (ALT), aspartate transaminase (AST), gamma-glutamyl transferase (GGT) and alakaline phosphatase (ALP) are widely used markers of liver function or injury to liver cells. These markers of liver function or injury to liver cells independently predict mortality outcomes in the hypertensive population. While there is a linear association of both GGT and ALP with mortality outcomes, it is a more complex, non-linear and ‘U’ shaped association for AST. Both ALT and bilirubin show inverse linear association with mortality. Age and body mass index significantly influence the relationship between ALT and mortality. Strengths and limitations: The strengths of the studies conducted as part of this thesis include; a large cohort of nearly 15,000 hypertensive adults, a real life clinical setting, 35 years of follow-up with median survival time of 32 years, the ability to link predictor variables with differing causes of mortality outcomes, and adjustment for several potential confounding factors. Exclusion of individuals without predictor variables assessed at baseline and the bias introduced by the missing covariates in the adjusted Cox-proportional hazard models are the major weaknesses. Future recommendations: Although the above mentioned inexpensive markers predict mortality in hypertensive population, the mechanism involved in their association with mortality is not clear. Future studies are required to explain the missing links. Usefulness of inclusion of these markers in predicting mortality should be tested in an independent population.
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Villegas, Ramirez Andres. "Mortality : modelling, socio-economic differences and basis risk." Thesis, City University London, 2015. http://openaccess.city.ac.uk/13574/.
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During the last two centuries the developed world experienced a persistent increase in life expectancy. Although past trends suggests that life expectancy will continue to increase, there is considerable uncertainty surrounding the future evolution of mortality. In addition, past mortality improvements have not been shared equally across the population, resulting in a widening of socio-economic inequalities in mortality. The uncertainty and socio-economic variability of life expectancy pose a challenge for the design of pension systems and the management of longevity risk in pension funds and annuity portfolios. This thesis is devoted to the investigation of the trends and financial implications of socio-economic differences in mortality. It comprises three parts. The first part introduces new modelling techniques for the quantification of socio-economic mortality differentials in aggregate and cause-specific mortality, which are applied in the study of the relationship between mortality and deprivation in the English population. The second part evaluates the suitability of several multipopulation stochastic mortality models for assessing basis risk in longevity hedges and provides guidelines on how to use these models in practical situations. Finally, the third part introduces new modelling tools which aim to permit a more effective and widespread use of stochastic mortality models.
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Risk, James Kenneth. "Three Applications of Gaussian Process Modeling in Evaluation of Longevity Risk Management." Thesis, University of California, Santa Barbara, 2017. http://pqdtopen.proquest.com/#viewpdf?dispub=10620897.
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Longevity risk, the risk associated with people living too long, is an emerging issue in financial markets. Two major factors related to this are with regards to mortality modeling and pricing of life insurance instruments. We propose use of Gaussian process regression, a technique recently populuarized in machine learning, to aid in both of these problems. In particular, we present three works using Gaussian processes in longevity risk applications. The first is related to pricing, where Gaussian processes can serve as a surrogate for conditional expectation needed for Monte Carlo simulations. Second, we investigate value-at-risk calculations in a related framework, introducing a sequential algorithm allowing Gaussian processes to search for the quantile. Lastly, we use Gaussian processes as a spatial model to model mortality rates and improvement.
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Chen, Hwei-yen. "Experimental Evolution of Life-history : Testing the Evolutionary Theories of Ageing." Doctoral thesis, Uppsala universitet, Zooekologi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-231948.
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Ageing reduces fitness, but how ageing evolves is still unclear. Evolutionary theory of ageing hinges on the fundamental principal that the force of natural selection declines with age. This principle has yielded two important predictions: 1) the evolution of faster ageing in populations under high rate of extrinsic mortality; and 2) the evolution of faster ageing in a sex that experiences higher rates of extrinsic mortality. However, an emerging new theory argues that when the extrinsic mortality is not random but instead selects on traits showing positive genetic correlation with lifespan, increased mortality should lead to the evolution of increased lifespan. Such condition-dependent mortality is also expected to increase the robustness in the population, resulting in increased deceleration of mortality in late-life. Similarly, high sex-specific mortality can result in increased sex-specific selection on traits that have positive pleiotropic effects on lifespan in the affected sex. This thesis is based on two experimental evolution studies in Caenorhabditis remanei. The first experiment was designed to disentangle the effects of the rate (high or low) and the source (random or condition-dependent) of mortality on the evolution of lifespan and ageing. Reduced lifespan evolved under high rate of random mortality, whereas high condition-dependent mortality, imposed by heat-shock, led to the evolution of increased lifespan (Paper I). However, while female reproduction increased under condition-dependent mortality, male reproduction suffered, suggesting a role for sexual antagonism in maintaining genetic variation for fitness (Paper II). Besides, long lifespan and high fecundity evolved at a cost of slow juvenile growth rate in females (Paper III). Moreover, high condition-dependent mortality led to the evolution of lower rate of intrinsic mortality in late-life (Paper IV). The second experiment showed that evolution of sexual dimorphism in lifespan is driven by the factors that cause sex-specific mortality and cannot be predicted from differences in mortality rate alone. Specifically, high condition-dependent mortality renders males less prone to ageing than females despite higher rates of male mortality (Paper V). The strength of this thesis is the reconfirmation of the earlier findings combined with support for the new theory. Rather than further complicating the matter, the inclusion of the new ideas should help explain some empirical results that are inconsistent with the classic theory, as well as provide a more comprehensive picture of ageing evolution.
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Patterson, Andrew C. "Loneliness as a risk factor for mortality and morbidity." Thesis, University of British Columbia, 2008. http://hdl.handle.net/2429/1557.
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Studies over the past couple of decades have depicted loneliness as a significant concern to physical health, although its meaning for overall health outcomes is still unclear. The precise impact of loneliness on life expectancy and on specific disease processes remains unknown. With regression modeling techniques, this thesis uses data from the Alameda County Health and Ways of Living Study to characterize the impact of loneliness on self-rated health, mortality, and fatalities from specific diseases. A key hypothesis is that loneliness as a health problem hinges on its persistence over time. This hypothesis is also tested by examining the reliability of the loneliness measure across the full 34 years of the survey. A second test is to examine its interplay with marital status as a mutable social circumstance. Results show that loneliness is a risk factor for poor self-rated health, non-ischemic cardiovascular diseases, cerebrovascular diseases, infections, and overall mortality. Results also show that loneliness need not be a stable problem across the life span in order to pose health risks. The reliability of the loneliness measure fades across time and levels of loneliness also vary with changes in marital status. Loneliness did not clearly mediate the impact of marital status on self-rated health, mortality, or specific causes of death.
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Beaudry, Frédéric. "Road Mortality Risk for Spotted and Blanding's Turtle Populations." Fogler Library, University of Maine, 2007. http://www.library.umaine.edu/theses/pdf/BeaudryF2007.pdf.
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Bhattacharya, Soma. "The value of mortality risk reductions in Delhi, India." College Park, Md. : University of Maryland, 2006. http://hdl.handle.net/1903/4160.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2006.Thesis research directed by: Agricultural and Resource Economics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Heberling, Ulrike, Rainer Koch, Matthias Hübler, Gustavo B. Baretton, Oliver W. Hakenberg, Michael Froehner, and Manfred P. Wirth. "Gender and Mortality after Radical Cystectomy: Competing Risk Analysis." Karger, 2018. https://tud.qucosa.de/id/qucosa%3A70642.
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Background: Data on the impact of gender on mortality after radical cystectomy is conflicting. We investigated a large single center sample with long-term follow-up in order to determine the relationship between gender and outcome. Patients and Methods: A total of 1,184 consecutive patients who underwent radical cystectomy for high risk superficial or muscle-invasive urothelial or undifferentiated bladder cancer between 1993 and 2015 were stratified by gender. Demographic data was compared using Mann-Whitney U test, chi-square test, or Fisher exact test. Cox proportional hazard models were used for the analysis of competing risks and logit models were used for the prediction of the receipt of adjuvant cisplatin-based chemotherapy. Results: Female patients were older, healthier, less frequently current smokers and had more extravesical tumors. In the multivariate analyses, female gender was an independent predictor of (lower) non-bladder cancer (competing) mortality (hazards ratio [HR] 0.68, 95% CI 0.49–0.95, p = 0.0248) but no predictor of bladder cancer-specific mortality (HR in the full model 1.20, 95% CI 0.94–1.54, p = 0.15). Gender was no predictor of the receipt of adjuvant cisplatin-based chemotherapy. Conclusions: Female gender was associated with an increased risk of extravesical disease but was no independent predictor of bladder cancer-specific mortality. Anatomical differences might be a plausible explanation for these observations.
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Haley, Benjamin. "How Protraction Moderates Radiation Risk in Animal Mortality Studies." Thesis, Northwestern University, 2017. http://pqdtopen.proquest.com/#viewpdf?dispub=10258166.
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Radiation is a ubiquitous health risk. Contemporary populations are exposed to several hundred milliSieverts per person over their lifetimes from both natural and human made sources such as radon, cosmic rays, CT-scans, etc. Risk estimates based on studies of atomic bomb survivors suggest that these exposures induce excess cancer mortality at a rate of several percent per Sievert.
To develop accurate risk estimates, it is important to recognize that contemporary exposures are different than atomic bomb survivor exposures. Instead of a single acute high dose rate exposure from an atomic explosion, populations today experience many small, protracted exposures accumulating to moderate total doses over their lifetimes. Therefore, in order to estimate the risk of contemporary exposures using atomic bomb survivor data, it is important to determine the differences in radiation dose response following acute vs. protracted exposures.
The committee to estimate the biological effects of ionizing radiation exposure in humans (BEIR) is one of the central authorities in the United States tasked with estimating radiation risk. Their seventh and most recent report (BEIR VII) written in 2006 estimated that contemporary protracted exposures induce 1.5 fold less risk than atomic bomb survivor exposures.
The work presented in this dissertation leverages a large body of historical animal mortality data to argue that BEIR VII overestimates the risk of protracted exposures. Concretely, evidence is presented from animal exposures that support the concept that contemporary protracted exposures induce about 2 fold less risk than atomic bomb survivor exposures.
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Khalaf-Allah, Marwa Abd El-Rahman. "Stochastic analysis of longevity and investment risk in the context of life annuities." Thesis, City University London, 2007. http://openaccess.city.ac.uk/8554/.
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This thesis aims to investigate the effect oflongevity risk in the context of life annuities. It develops different tools and frameworks to measure this risk as a step to facilitate the risk management oflongevity risk. Particular attention is directed to stochastic modelling which allows the uncertainty of future projections to be incorporated. Hence, simulation methods are used to consider the distribution of the annuity cost, as well as the more often quoted point estimates. A theoretical extension of the use of the entropy measure applied in population biology by Demetrius (1976) has been developed to measure the effect of a proportionate change in the force of mortality on the cost of life annuity. The properties of the corresponding entropy measure have been then investigated using the Gompertz and the Sithole et al (2000) mortality projection models. Numerical results suggest that, at very high or low levels of mortality, the effect of mortality changes on the value of life annuity is of reduced importance. A full Bayesian model has been developed which incorporates the estimation of the parameters of both the Sithole et al (2000) and the Lee - Carter (1992) mortality projection models within the simulation of the annuity cost. This has been extended to an environment in which the future rates of interest are stochastic. The effect of parameter uncertainty of the Sithole et al (2000) mortality projection model has been considered and shown to be less important than the associated model uncertainty.
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Hong, Wonku. "The Effect of Defined Contribution Plans on the Retirement Decision." Digital Archive @ GSU, 2006. http://digitalarchive.gsu.edu/rmi_diss/19.
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This study examines the effect of pensions on the timing of retirement, focusing on the differences between defined benefit (DB) plans and defined contribution (DC) plans. I find that DC plans have different effects on the accumulation of retirement wealth, the incentives for retirement and the risk of retirement benefits than DB plans. Thereby, DC plans have different effects from DB plans on the decision to retire. This paper is the first empirical study to investigate the effect of longevity risk in pension plans on retirement. It is an important addition to the literature on retirement behavior since longevity risk will become more important as individuals have longer life expectancies and bear more longevity risk due to increasing likelihood of coverage by DC plans or Social Security personal accounts. Previous research has found that DB plans have an age-incentive effect on retirement. That is, the structure of DB plans may induce individuals to retire at a specific age. By contrast, the structure of DC plans does not have age-incentive effects. Thereby, individuals with DC plans may retire either earlier or later on average than individuals with DB plans because of the absence of age-related incentives in DC plans. To shed further light on these issues, this study introduces risk factors, and particularly longevity risk, to an option value model of the retirement decision. Longevity risk is important to DC participants since DC plans usually offer a lump-sum benefit at retirement. Since payouts are not guaranteed over life expectancy, retirees with DC plans bear a greater risk of outliving their resources, i.e., longevity risk. The additional risks in DC plans may make workers save more, and retire later. This paper extends a standard intertemporal model of consumption and retirement by incorporating risk factors for different pension types into the retirement decision problem. Comparative statics from the optimal solution show that increases in risk factors (i.e. longevity risk) during retirement induce workers with DC plans to retire later than workers with defined benefit (DB) plans. This study then test the predictions of this model empirically, using the data from the Health and Retirement Study (HRS). Empirical results confirm the predictions of the theoretical model. First, workers with DC plans expect to retire later than workers with DB plans. Next, increase in pension option value, measured as the difference between the maximum pension value and the pension value of 1992, decreases the probability of retirement, thereby increasing the expected retirement wage. By contrast, greater pension wealth increases the probability of retirement, reducing the expected retirement age. Considering that pension wealth in DC plans is about half of pension wealth in DB plans, it is reasonable to conclude that workers with DC plans retire later than workers with DB plans. Finally, longevity risk, as measured by the Annuity Equivalent Wealth (AEW), decreases probability of retirement, increasing the expected retirement age.
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Wildschut, Hajo Izaak Johannes. "Risk assessment of preterm birth : epidemiological considerations." Thesis, University of Bristol, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.282397.
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Martin, C. J. "Individualized modelling of mortality by cause based upon risk factors." Thesis, University College London (University of London), 2013. http://discovery.ucl.ac.uk/1395578/.
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This thesis describes the development and evaluation of a stochastic mortality model that is intended to support shared decision-making between health care professionals and patients; health care planning; and actuarial analysis for life insurance, health insurance and pensions. The model uses risk factors and cause of death to calculate all-cause mortality in a modularised Markov Chain Monte Carlo approach. This modularisation allows the substitution of different cause of death models and hazard ratios, enabling customisation, calibration to different populations, and further research. The cause-specific sub-models used in this evaluation incorporate a method of auto-calibration to different populations using baseline population mortality rates, risk factor distributions, and individual risk factor values. The model can investigate the impact of changing trends in risk factors and population mortality rates. Trends in lifestyle factors such as smoking cessation, medical interventions that adjust risk factors such as blood pressure or serum cholesterol reduction, or interventions that reduce mortality from specific causes, can be examined. Non-specific, observed trends like the select transition effect seen in life insurance portfolios, or cohort effects relating to year of birth, can also be applied. A thorough internal and external evaluation of the model is presented, including its performance in simulating three randomised controlled trials (two of the treatment of hypertension, and one of cholesterol reduction in subjects experiencing a cardiovascular event), as well as three simulations of historical prospective cohort data projected over at least 16 years. A demonstration of the application of the model in the assessment of the impact of changing trends in obesity rates in the UK over the next 50 years suggests that rising obesity makes a modest negative contribution to mortality improvement, but not enough to reverse current improvement rates.
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Hunter, Alecia M. "Fear-based Policymaking: How Government Agencies Exploit Mortality Risk Perceptions." DigitalCommons@USU, 2016. https://digitalcommons.usu.edu/etd/4885.
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The Value of a Statistical Life represents how much a population values reducing the probability of death. American citizens and government agencies use the Value of a Statistical Life estimates in benefit-cost analysis to pass life-saving policies. The public uses this measurement as a scientific and objective tool to identify potentially favorable policy from ineffective and inefficient policy. Institutional incentives, however, are aligned for agencies to exaggerate Value of a Statistical Life calculations and overregulate markets. This thesis summarizes how the Value of a Statistical Life data sources, methods of estimation, and inconsistent behavioral reference points distort the statistical calculations. Despite the distorted estimation, agencies still rely heavily on the Value of a Statistical Life as a tool to pass policy. Public choice theory explains that agencies employ distorted information as a tactic to pass regulation. The theory demonstrates that regulators are self-interested not unlike the general public. This thesis provides a public choice analysis and concludes that agencies are incentivized to employ distorted data sources, methods of calculation, and public risk perceptions to inflate the Value of a Statistical Life and overregulate. As such, the Value of a Statistical Life will continue to be biased and inaccurate with the current methods of calculation and addressing political incentives.
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Calvin, Catherine Mary. "Exploring longitudinal pathways from intelligence to morbidity and mortality risk." Thesis, University of Edinburgh, 2012. http://hdl.handle.net/1842/9982.
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Human population-based studies of longitudinal design observe that higher intelligence in youth confers protection from premature mortality in adulthood. This field of study (“cognitive epidemiology”; Deary & Batty, 2007) has firmly established associations between intelligence and health outcomes, and has begun to address the likely mechanisms involved. The present thesis assessed some social, educational, and lifestyle factors that potentially confound and/or mediate the intelligence-mortality link. First, I carried out a systematic review of longitudinal cohort studies reporting intelligence differences in youth in relation to adult mortality risk, and in meta-analysis I aggregated the effect sizes from 16. A one SD advantage in intelligence scores was associated with 24% (95% CI 23% to 25%) lower risk of death, during 17- to 69-year follow-up; this magnitude showed no sex differential. Socioeconomic status in early life did not explain the effect. Rather, the person’s own occupational status in adulthood and educational attainment explained a third and a half of the association, respectively. One issue in controlling for education, in such models, is its strong correlation with intelligence test performance, which could lead to statistical overadjustment. A second aspect of this thesis, therefore, addressed the nature of the intelligence-education covariance in two behaviour-genetic studies of large general population-based samples of schoolchildren from England and The Netherlands. Previous studies that reported intelligence—education genetic covariances were potentially biased in their use of twin self-selection or pre-selection sampling. Moreover, the analysis in this thesis used a novel statistical approach, and included non-twin data to represent fully the variance in performance scores of a population. Analysis of the English cohort confirmed the top end of estimates from previous studies: 76% to 88% of the phenotypic correlation was due to heritability. The Dutch cohort showed greater variance for equivalent estimates (33% to 100%). The results indicate a limit to the extent to which education and intelligence might be causative of one another suggesting caution in interpreting some of the substantive attenuation effects by education reported in the literature. Third, I investigated pathways from intelligence to cardiovascular disease risk factors, given the consistent and robust finding that an advantage in intelligence relates to lower cardiovascular disease-outcomes. I used data from the 1958 National Child Development Study to investigate age-11 intelligence in association with inflammatory and haemostatic biomarker status at age 46 years. The results replicated inverse associations previously reported in an older age sample, and a one SD advantage in intelligence related to a 1.1mg/L decrease in C-reactive protein. The effect was largely mediated by lifestyle factors, including smoking, occupational status and abdominal obesity. In two further studies I used the west of Scotland Twenty-07 cohort, to investigate processing speeds among 16, 36 and 56 year-olds in relation to: (1) Inflammation, and (2) metabolic-risk, after 20 years. The advantage of experimental rather than psychometric measures of cognitive ability is their reduced cultural and social bias. Faster reaction time predicted lower systemic inflammation in the youngest male cohort, which appeared to be partially confounded by baseline smoking and socioeconomic status. Furthermore, advantage in reaction time performance in the young and middle-aged cohorts significantly predicted reduced metabolic risk. This was partially explained by occupational status, but retained statistical significance in some fully-adjusted models. A one SD advantage in age 16 simple reaction time variability, related to the 21% (95% CI 12% to 30%) reduced odds of metabolic syndrome by age 36 in the basic model, and this effect remained unchanged after controlling for all covariates. The growing evidence for specific social and behavioural factors that mediate intelligence-to-mortality pathways are discussed, in respect of indirect evidence that underlying system integrity or early life confounding may contribute incrementally to the effect.
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Walker, Richard. "The risk factors and outcome for stroke in the Gambia, West Africa." Thesis, University of Newcastle upon Tyne, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.247843.
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Ou, Chunquan. "Individual risk factors that modify the short-term effects of air pollution on mortality : a population-based study of Chinese population /." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B40687399.
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Laishram, Chanusana. "A systematic review of risk factors for maternal mortality in India." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206929.
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Background: India as one of the rapidly developing economies where health challenges are myriad at the population level has the highest number of maternal death in the world. Understanding risk factors for maternal mortality is paramount because maternal health is the basic indicator for the overall adequacy of healthcare of a country. This study was conducted to review on the various risk factors of maternal mortality and the multifarious challenges for maternal health in India.
Methods: A literature search was conducted with PubMed and Google scholar using the key words of (“risk factors” AND (“maternal mortality” OR “maternal death”) AND India) for articles published from 1970 to May 2014. PubMed was primarily used for the systematic search.
Findings: Twelve studies were identified for the final review of which six were case series studies, three were case studies and three were case control studies. Most of the studies were conducted in institutional settings from the five regions (North, South, West, Central and East) of India with different range of Maternal Mortality Rate (MMR) estimates. Previous literature had highlighted socio economic disadvantages as important determinants for maternal mortality. The current review shows a complex interplay of four factors in general in India: social, obstetrical, behavioural and medical factors. Variables of both social demographic and economic factors such as median age of the women at childbirth, literacy rate of the female population and area of residences are put together in the social factors of this study. Compared to the causes, descriptions on behavioural risk factors were rather limited and so the requisite to examine the risk factors affecting maternal mortality is justified. Intervention strategies include conditional cash transfer scheme, voucher scheme, training of village health volunteers and training of auxiliary mid wives’.
Conclusions: India has a unique social system of diversity and stratification. The pattern of maternal mortality in India is different and varied widely in zones or regions. The variations of challenges should be highlighted so as to give a clear grasp of the inequalities of maternal health as well as also help in reducing the MMR substantially.published_or_final_version
Public Health
Master
Master of Public Health
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Marques, Inês Filipa Costa. "Mortality of elite athletes : an application to football players." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/18092.
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Mestrado em Actuarial ScienceOs benefícios para a saúde resultantes da prática regular de exercício físico, de uma forma moderada, estão cientificamente comprovados. Contudo, quando se trata de uma abordagem sobre atletas profissionais, os benefícios deixam de ser uma clara evidência, surgindo por vezes sinais de alerta para os seus possíveis efeitos adversos. Para alimentar esta controvérsia, muito têm contribuído os estudos recentes que evidenciam anomalias e doenças cardiovasculares, bem como as frequentes lesões em atletas de elite. É neste contexto que surge o principal objectivo deste trabalho: investigar se os atletas de elite vivem mais do que a população em geral. Após uma profunda revisão literária inicial relativa à mortalidade dos atletas de elite, procede-se a uma análise de sobrevivência que tem como foco dois grupos de jogadores de futebol profissionais. Recolheram-se dados relativos à data de nascimento e morte dos jogadores portugueses e espanhóis que representaram a sua selecção, bem como de outras variáveis de interesse para o estudo. Cada grupo de jogadores é comparado com a população geral do respectivo país, usando dados disponíveis na Human Mortality Database, através da estimação de standardised mortality ratios e de curvas de sobrevivência. O years-lost method é também aplicado, fornecendo uma medida de longevidade dos referidos atletas de elite. Ainda é averiguado se a posição dos jogadores e o número de jogos na sua carreira afectam diferencialmente a mortalidade dos mesmos, através dos Cox Proportional Hazard Models. Por fim, as populações dos jogadores portugueses e espanhóis são comparadas entre si.
The health benefits of moderate regular physical activity have been clearly demonstrated and are widely consensual. However, there is a growing debate over the potential adverse effects of strenuous physical activity, particularly at a professional level. Recent findings of cardiovascular anomalies in elite athletes coupled with the high frequency of injuries have brought some sports under increased scrutiny. In this context, the main goal of this work is to investigate whether elite athletes live longer than the general population. After an initial review of the literature on elite athletes' mortality, a comprehensive survival analysis is applied to two populations of professional football players. Lifespan data and specific occupational variables of Portuguese and Spanish football players, who have represented their national teams in their career, were collected from recognized publicly available sources. Each cohort is then compared to the respective standard population, using available data in the Human Mortality Database, through the estimation of standardised mortality ratios and survival curves. The years-lost method is applied to provide a time dimension measure for these elite athletes' longevity. Furthermore, the association of position on the field and the number of games with overall mortality is accessed using Cox Proportional Hazard Models. At the end, a comparison between the mortality of Portuguese and Spanish football players is carried out.
info:eu-repo/semantics/publishedVersion
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Lin, Tzu-Ling, and 林子綾. "Mortality Models: An Application to Longevity Risk Management." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/57079891953289130839.
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博士國立臺灣大學
財務金融學研究所
98
The dissertation contains two essays to focus on a mortality model and make an application to the management of longevity risk. The first essay proposes an additive continuous-time stochastic mortality model which revises that (B&H model) of Ballotta and Haberman (2006) since there are two questionable features in the B&H model. We further demonstrate an application of our model by calculating reserves of longevity risks for pure endowments and various common annuity products in the UK. We also compare our results with those of the B&H model. The second essay incorporates age-specific effects into period-cohort volatilities in the first essay and empirically estimates the volatilities by using UK female mortality data. We also calculate the empirical capital adequacy ratio (CAR) defined in the first essay by using the empirical estimated age-period-cohort volatilities.
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Deng, Yinglu. "Longevity risk modeling, securities pricing and other related issues." Thesis, 2011. http://hdl.handle.net/2152/26600.
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This dissertation studies the adverse financial implications of "longevity risk" and "mortality risk", which have attracted the growing attention of insurance companies, annuity providers, pension funds, public policy decision-makers, and investment banks. Securitization of longevity/mortality risk provides insurers and pension funds an effective, low-cost approach to transferring the longevity/mortality risk from their balance sheets to capital markets. The modeling and forecasting of the mortality rate is the key point in pricing mortality-linked securities that facilitates the emergence of liquid markets. First, this dissertation introduces the discrete models proposed in previous literature. The models include: the Lee-Carter Model, the Renshaw Haberman Model, The Currie Model, the Cairns-Blake-Dowd (CBD) Model, the Cox-Lin-Wang (CLW) Model and the Chen-Cox Model. The different models have captured different features of the historical mortality time series and each one has their own advantages. Second, this dissertation introduces a stochastic diffusion model with a double exponential jump diffusion (DEJD) process for mortality time-series and is the first to capture both asymmetric jump features and cohort effect as the underlying reasons for the mortality trends. The DEJD model has the advantage of easy calibration and mathematical tractability. The form of the DEJD model is neat, concise and practical. The DEJD model fits the actual data better than previous stochastic models with or without jumps. To apply the model, the implied risk premium is calculated based on the Swiss Re mortality bond price. The DEJD model is the first to provide a closed-form solution to price the q-forward, which is the standard financial derivative product contingent on the LifeMetrics index for hedging longevity or mortality risk. Finally, the DEJD model is applied in modeling and pricing of life settlement products. A life settlement is a financial transaction in which the owner of a life insurance policy sells an unneeded policy to a third party for more than its cash value and less than its face value. The value of the life settlement product is the expected discounted value of the benefit discounted from the time of death. Since the discount function is convex, it follows by Jensen's Inequality that the expected value of the function of the discounted benefit till random time of death is always greater than the benefit discounted by the expected time of death. So, the pricing method based on only the life expectancy has the negative bias for pricing the life settlement products. I apply the DEJD mortality model using the Whole Life Time Distribution Dynamic Pricing (WLTDDP) method. The WLTDDP method generates a complete life table with the whole distribution of life times instead of using only the expected life time (life expectancy). When a life settlement underwriter's gives an expected life time for the insured, information theory can be used to adjust the DEJD mortality table to obtain a distribution that is consistent with the underwriter projected life expectancy that is as close as possible to the DEJD mortality model. The WLTDDP method, incorporating the underwriter information, provides a more accurate projection and evaluation for the life settlement products. Another advantage of WLTDDP is that it incorporates the effect of dynamic longevity risk changes by using an original life table generated from the DEJD mortality model table.text
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Li, Siu Hang. "Stochastic Mortality Models with Applications in Financial Risk Management." Thesis, 2007. http://hdl.handle.net/10012/3108.
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In product pricing and reserving, actuaries are often required to make predictions of future death rates. In the past, this has been performed by using deterministic improvement scales that give only a single mortality trajectory. However, there is enormous likelihood that future death rates will turn out to be different from the projected ones, and so a better assessment of longevity risk would be one that consists of both a mean estimate and a measure of uncertainty. Such assessment can be performed using a stochastic mortality model, which is the core of this thesis.
The Lee-Carter model is one of the most popular stochastic mortality models. While it does an excellent job in mean forecasting, it has been criticized for providing overly narrow prediction intervals that may have underestimated uncertainty. This thesis mitigates this problem by relaxing the assumption on the distribution of death counts. We found that the generalization from Poisson to negative binomial is equivalent to allowing gamma heterogeneity within each age-period cells. The proposed extension gives not only a better fit, but also a more conservative prediction interval that may reflect better the uncertainty entailed.
The proposed extension is then applied to the construction of mortality improvement scales for Canadian insured lives. Given that the insured lives data series are too short for a direct Lee-Carter projection, we build an extra relational model that could borrow strengths from the Canadian population data, which covers a far longer period. The resultant scales consist of explicit measures of uncertainty.
The prediction of the tail of a survival distribution requires a special treatment due to the lack of high quality old-age mortality data. We utilize the asymptotic results in modern extreme value theory to extrapolate death probabilities to the advanced ages, and to statistically determine the age at which the life table should be closed. Such technique is further integrated with the Lee-Carter model to produce a stochastic analysis of old-age mortality, and a prediction of the highest attained age for various cohorts.
The mortality models we considered are further applied to the valuation of mortality-related financial products. In particular we investigate the no-negative-equity-guarantee that is offered in most fixed-repayment lifetime mortgages in Britain. The valuation of such guarantee requires a simultaneous consideration of both longevity and house price inflation risk. We found that house price returns can be well described by an ARMA-EGARCH time-series process. Under an ARMA-EGARCH process, however, the Black-Scholes formula no longer applies. We derive our own pricing formula based on the conditional Esscher transformation. Finally, we propose some possible hedging and capital reserving strategies for managing the risks associated with the guarantee.
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Huang, Yi-Hsin, and 黃怡新. "Securitization of Longevity Risk: Pricing under Stochastic Mortality Model with Tranching Design." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/07924126171687751823.
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碩士國立臺灣大學
財務金融學研究所
95
We utilize the securitized tranche technique to design a security for transferring longevity risk to the capital market. Our structure follows the concept of synthetic CDO. The reinsurance contract, which is similar to a CDS (Credit Default Swap), is first set between the insurer and the SPV. Then, the longevity bond is constructed and divided into four tranches according to the portfolio loss rate distribution. The longevity risk is modeling under a non mean-reverting Feller process introduced in Luciano and Vigna (2005). We value the longevity risk and calculate the transformed distribution under Wang’s method to consider the market price of longevity risk. A securitization tranching example is illustrated and the mortality information is based on the US mortality data observed in Human mortality data base.
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Huang, Yi-Hsin. "Securitization of Longevity Risk: Pricing under Stochastic Mortality Model with Tranching Design." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-0808200718131700.
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Ji, Min. "Markovian Approaches to Joint-life Mortality with Applications in Risk Management." Thesis, 2011. http://hdl.handle.net/10012/6090.
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The combined survival status of the insured lives is a critical problem when pricing and reserving insurance products with more than one life. Our preliminary experience examination of bivariate annuity data from a large Canadian insurance company shows that the relative risk of mortality for an individual increases after the loss of his/her spouse, and that the increase is especially dramatic shortly after bereavement. This preliminary result is supported by the empirical studies over the past 50 years, which suggest dependence between a husband and wife.
The dependence between a married couple may be significant in risk management of joint-life policies. This dissertation progressively explores Markovian models in pricing and risk management of joint-life policies, illuminating their advantages in dependent modeling of joint time-until-death (or other exit time) random variables. This dissertation argues that in the dependent modeling of joint-life dependence, Markovian models are flexible, transparent, and easily extended.
Multiple state models have been widely used in historic data analysis, particularly in the modeling of failures that have event-related dependence. This dissertation introduces a ¡°common shock¡± factor into a standard Markov joint-life mortality model, and then extends it to a semi-Markov model to capture the decaying effect of the "broken heart" factor. The proposed models transparently and intuitively measure the extent of three types of dependence: the instantaneous dependence, the short-term impact of bereavement, and the long-term association between lifetimes. Some copula-based dependence measures, such as upper tail dependence, can also be derived from Markovian approaches.
Very often, death is not the only mode of decrement. Entry into long-term care and voluntary prepayment, for instance, can affect reverse mortgage terminations. The semi-Markov joint-life model is extended to incorporate more exit modes, to model joint-life reverse mortgage termination speed. The event-triggered dependence between a husband and wife is modeled. For example, one spouse's death increases the survivor's inclination to move close to kin. We apply the proposed model specifically to develop the valuation formulas for roll-up mortgages in the UK and Home Equity Conversion Mortgages in the US. We test the significance of each termination mode and then use the model to investigate the mortgage insurance premiums levied on Home Equity Conversion Mortgage borrowers.
Finally, this thesis extends the semi-Markov joint-life mortality model to having stochastic transition intensities, for modeling joint-life longevity risk in last-survivor annuities. We propose a natural extension of Gompertz' law to have correlated stochastic dynamics for its two parameters, and incorporate it into the semi-Markov joint-life mortality model. Based on this preliminary joint-life longevity model, we examine the impact of mortality improvement on the cost of a last survivor annuity, and investigate the market prices of longevity risk in last survivor annuities using risk-neutral pricing theory.