1,721,023 research outputs found
A random forest algorithm to improve the Lee–Carter mortality forecasting: impact on q-forward
Get PDFIncreased life expectancy in developed countries has led researchers to pay more attention to mortality projection to anticipate changes in mortality rates. Following the scheme proposed in Deprez et al. (Eur Actuar J 7(2):337–352, 2017) and extended by Levantesi and Pizzorusso (Risks 7(1):26, 2019), we propose a novel approach based on the combination of random forest and two-dimensional P-spline, allowing for accurate mortality forecasting. This approach firstly provides a diagnosis of the limits of the Lee–Carter mortality model through the application of the random forest estimator to the ratio between the observed deaths and their estimated values given by a certain model, while the two-dimensional P-spline are used to smooth and project the random forest estimator in the forecasting phase. Further considerations are devoted to assessing the demographic consistency of the results. The model accuracy is evaluated by an out-of-sample test. Finally, we analyze the impact of our model on the pricing of q-forward contracts. All the analyses have been carried out on several countries by using data from the Human Mortality Database and considering the Lee–Carter model
Managing longevity and disability risks in life annuities with long term care
No full textThe aim of the paper is twofold. Firstly, it develops a model for risk assessment
in a portfolio of life annuities with long term care benefits. These products are
usually represented by a Markovian Multi-State model and are affected by both
longevity and disability risks. Here, a stochastic projection model is proposed in
order to represent the future evolution of mortality and disability transition intensities.
Data from the Italian National Institute of Social Security (INPS) and from
Human Mortality Database (HMD) are used to estimate the model parameters.
Secondly, it investigates the solvency in a portfolio of enhanced pensions. To this
aim a risk model based on the portfolio risk reserve is proposed and different rules
to calculate solvency capital requirements for life underwriting risk are examined.
Such rules are then compared with the standard formula proposed by the Solvency
II project
Modelling and Managing Longevity and Disability Risks in Long Term Care Insurance
No full textThe first aim of the paper is to develop a model for risk assessment in a portfolio of life
annuities with long term care benefits. These products are affected by both longevity and disability
risks and could be represented by a Markovian Multi-State model. We propose a stochastic
projection model in order to represent the future evolution of mortality and disability transition
intensities. Data from the Italian National Statistical Institute (ISTAT) are used to estimate the
model parameters. Secondly we investigate the solvency in a portfolio of enhanced pensions. To
this aim a risk model based on the portfolio risk reserve is proposed and different rules to calculate
solvency capital requirements for life underwriting risk are examined. Such rules are then
compared with the standard formula proposed by the Solvency II project
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