Recent Grants from the Center of Actuarial Excellence

"New Trends in Longevity," 2015-present

The basis of our research is that there are fundamental differences between modeling and managing financial and mortality risk. While for financial risk the focus is on modeling short-term volatility, for mortality risk the most relevant risk appears to be a change in the long-term development—or trend—of mortality rates, which could have disastrous consequences in view of the sufficiency of reserves. Our objective is to develop a research program that focuses on modeling mortality trends rather than the variability in mortality rates—and the inference for and the evaluation of resulting models. While this may sound rather straightforward at first glance, we believe that this area is largely unexplored and that this simple change in perspective could yield significant advances in understanding, analyzing, and mitigating mortality/longevity risk—although it is also associated with considerable technical challenges requiring advanced statistical and probabilistic methods.

Involved Faculty

• Daniel Bauer, principal investigator
  New York Life Professor of Insurance, associate professor
• Liang Peng
  professor

Publications

• Leng, Xuan and Liang Peng (2015). “Inference pitfalls in Lee-Carter model for forecasting mortality,” submitted.
• Leng, Xuan and Liang Peng (2015). “Test for unit root in Lee-Carter mortality model,” submitted.
• Zhu, Nan and Daniel Bauer (2015). “Modeling and Forecasting Mortality Projections,” working paper.

Conference and Seminar Presentations

• July 2015: “Mortality and Longevity Risk: Methods, Models and Management,” presentation by Daniel Bauer at the 2015 CEAR-Huebner Summer Risk Institute