Forecast accuracy and measures of uncertainty are important in mortality modeling, for instance in risk management and pricing of financial products. In this paper, we introduce a new mortality model that provides excellent mortality forecasts and …

This article introduces an equity-LIBOR Market Model (LMM) that integrates the investment strategy into the valuation process of participating life insurance policies. Within this framework, we consider bond portfolios rebalanced across multiple …

Inspired by the large success of Transformers in Large Language Models, these architectures are increasingly applied to tabular data. This is achieved by embedding tabular data into low-dimensional Euclidean spaces resulting in similar structures …

In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. (Int J Theor Appl Finance, 2022. https://doi.org/10.1142/S0219024922500054 ). Our novel approach embeds the mean-field model …

This paper proposes a novel approach for assessing changes in the expected present value of life annuities by adapting decomposition techniques traditionally applied in demographic research. Building upon Vaupel and Canudas–Romo’s method, a …

Subjective survival probabilities reflect individuals’ views about own future survival and they vary based on socio-demographic factors. Actuaries and demographers use parametric survival models, often calibrated on population mortality data, to …

Shapley effects are enjoying increasing popularity as importance measures. These indices allocate the variance of the quantity of interest among every risk factor, and a risk factor explaining more variance than another one is more important.

In mortality modelling, cohort effects are often taken into consideration as they add insights about variations in mortality across different generations. Statistically speaking, models such as the Renshaw-Haberman model may provide a better fit …

We introduce and provide evidence to support the Proportionality Hypothesis which states that Covid-19 infection fatality rates are approximately proportional to all-cause death rates by age and subgroup (e.g., socio-economic class). We also show …

This paper tackles the problem of approximating the distribution of future biometric indices under a cohort-based perspective. Unlike period-based evaluations, cohort-based schemes require the computation of conditional expectations for which …