Sumários
Stochastic mortality modelling
13 Março 2025, 18:30 • Jorge Bravo
Stochastic mortality modelling
Stochastic mortality modelling
10 Março 2025, 20:30 • Jorge Bravo
Stochastic mortality modelling
Stochastic mortality modelling
27 Fevereiro 2025, 18:30 • Jorge Bravo
Stochastic mortality modelling
Stochastic mortality modeling
24 Fevereiro 2025, 20:30 • Jorge Bravo
1.
Stochastic mortality modeling
2.1.
Basic life insurance mathematics
2.2.
Period and prospective life table construction
2.3.
Mortality projection methods
2.3.1.
Extrapolative methods: Parametric, Statistical (e.g., Lee-Carter, CBD
models), Projection with reference to optimal and/or model life tables,
Age-Period vs. Age-Period-cohort models
2.3.2.
Continuous-time stochastic mortality models (e.g. Affine jump diffusion
models)
2.3.3.
Other methods: Relational models, Epidemiological methods &
Projection by cause-of-death, Expert-opinion models, Micro-Macro modeling
2.4.
Parameter estimation and mortality forecasting, forecast uncertainty
2.5.
Forecasting Oldest-old mortality (closing life tables), graduation
techniques
Background on the Longevity Risk Transfer Market
20 Fevereiro 2025, 18:30 • Jorge Bravo
1.
Background on the Longevity Risk Transfer Market
1.1.
Long term trends in longevity and drivers of mortality
1.2.
Stakeholders in the longevity risk transfer market and market exposure
1.3.
Mortality and Longevity: a Risk Management Approach
1.4.
Identification: Volatility, Level & Trend uncertainty, Catastrophe
Mortality/Longevity risks
1.5.
Modeling and Measurement: Deterministic (Sensitivity testing, Scenario
testing) vs Stochastic mortality models (Discrete vs. continuous-time models),
VaR, Tail-VaR,...
1.6.
Risk Management Techniques: Loss Control vs Loss Financing
1.7.
Traditional Insurance and Capital Market based solutions to mortality
and longevity risks