We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte Carlo (MCMC) is used for parameter estimation....

Using an extended version of the credit risk model CreditRisk, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss modelling of life insurance and annuity portfolios which can be...

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte Carlo (MCMC) is used for parameter estimation....

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte Carlo (MCMC) is used for parameter estimation....

Recently we developed a new framework in Hirz et al. (2015) to model stochastic mortality using extended CreditRisk methodology which is very different from traditional time series methods used for mortality modelling previously. In this framework, deaths are driven by common latent stochastic...

This paper provides a rigorous mathematical formulation of the main components within the building block approach (BBA) and the variable fee approach (VFA) in the IFRS17 standard as released in May 2017. The given actuarial model provides formulas for a precise depiction of the contractual...

The three annual 2¼% interest coupons of the Winterthur Insuranceconvertible bond (face value CHF 4 700) will only be paid out if during their corresponding observation periods no major storm or had storm on one single day damages at least 6000 motor vehicles insured with Wmterthur Insurance....

In this paper, we discuss a generalization of the collective risk model and of Panjer's recursion. The model we consider consists of several business lines with dependent claim numbers. The distributions of the claim numbers are assumed to be Poisson mixture distributions. We let the claim...

Abstract We give a unified mathematical framework for reduced-form models for portfolio credit risk and identify properties which lead to positive dependence of default times. Dependence in the default hazard rates is modeled by common macroeconomic factors as well as by inter-obligor links. It...