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IAALS Webinar: Granular Mortality Modelling with Temperature- and Epidemiological-related Shocks

 
Join us for a webinar on: Granular Mortality Modelling with Temperature- and Epidemiological-related Shocks
Date: 15 April 2025
Time: 08:00 AM (EDT) 
      REGISTER HERE       
 
      ABSTRACT     
This paper develops a granular regime-switching framework to model mortality deviations from seasonal baseline trends driven by temperature- and epidemiological-related shocks. The model features three states: (1) a baseline state that captures observed seasonal mortality patterns, (2) an environmental shock state for heat waves, and (3) a respiratory shock state that addresses mortality deviations caused by respiratory outbreaks due to influenza and COVID-19. Transition probabilities between states are modelled using covariate-dependent multinomial logit functions. These functions incorporate, among others, lagged temperature and influenza incidence rates as predictors, allowing dynamic adjustments to evolving shocks. Calibrated on weekly mortality data across 21 French regions and six age groups, the regime-switching framework accounts for spatial and demographic heterogeneity. Under various projection scenarios for temperature and influenza, we quantify uncertainty in mortality forecasts through prediction intervals constructed using an extensive bootstrap approach. These projections can guide insurance companies, healthcare providers, and hospitals in managing risks and planning resources for potential future shocks.
  THE SPEAKERS  
Karim Barigou | Speaker 
Karim Barigou is a Professor of Actuarial Science at UCLouvain (Belgium). His research focuses on life insurance and its connections with quantitative finance. His recent work covers mortality modeling with pandemics and climate effects, longevity risk management, pricing and hedging of variable annuities, and the application of statistical learning techniques in life insurance. He holds a PhD from KULeuven, where his research explored the integration of market-consistent and actuarial valuation methods for life insurance liabilities.
Ernst Visser | Moderator
Ernst is a fully qualified actuary. He works for KPMG Financial Risk Management in the Netherlands. He advises life and non-life insurers in the actuarial field. IFRS 17, Solvency II and discount rates are important topics that Ernst works on.
      REGISTER HERE