Robustness and convergence in the Lee–Carter model with cohort effects

Interest in cohort effects in mortality data has increased dramatically in recent years, with much of the research focused on extensions of the Lee–Carter model incorporating cohort parameters. However, some studies find that these models are not robust to changes in the data or fitting algorithm, which limits their suitability for many purposes. It has been suggested that these robustness problems may be the result of an unresolved identifiability issue. In this paper, after investigating systemically the robustness of cohort extensions of the Lee–Carter model and the convergence of the algorithms used to fit it to data, we demonstrate the existence of such an identifiability issue and propose an additional approximate identifiability constraint which solves many of the problems found.     

Forecasting mortality in subpopulations using Lee–Carter type models: A comparison

The relative performance of multipopulation stochastic mortality models is investigated. When targeting mortality rates, we consider five extensions of the well known Lee–Carter single population extrapolative approach. As an alternative, we consider similar structures when mortality improvement rates are targeted. We use a dataset of deaths and exposures of Italian regions for the years 1974–2008 to conduct a comparison of the models, running a battery of tests to assess the relative goodness of fit and forecasting capability of different approaches. Results show that the preferable models are those striking a balance between complexity and flexibility.     

A more meaningful parameterization of the Lee–Carter model

A new Lee–Carter model parameterization is introduced with two advantages. First, the Lee–Carter parameters are normalized such that they have a direct and intuitive interpretation, comparable across populations. Second, the model is stated in terms of the “needed-exposure” (NE). The NE is the number required in order to get one expected death and is closely related to the “needed-to-treat” measure used to communicate risks and benefits of medical treatments. In the new parameterization, time parameters are directly interpretable as an overall across-age NE. Age parameters are interpretable as age-specific elasticities: percentage changes in the NE at a particular age in response to a percent change in the overall NE. A similar approach can be used to confer interpretability on parameters of other mortality models.     

Efficient approximations for numbers of survivors in the Lee–Carter model

In portfolios of life annuity contracts, the payments made by an annuity provider (an insurance company or a pension fund) are driven by the random number of survivors. This paper aims to provide accurate approximations for the present value of the payments made by the annuity provider. These approximations account not only for systematic longevity risk but also for the diversifiable fluctuations around the unknown life table. They provide the practitioner with a useful tool avoiding the problem of simulations within simulations in, for instance, Solvency 2 calculations, valid whatever the size of the portfolio.     

Identifiability issues in dynamic stress–strength modeling

In many real-life scenarios, system reliability depends on dynamic stress–strength interference, where strength degrades and stress accumulates concurrently over time. In some other cases, shocks appear at random time points, causing damage which is only effective at the instant of shock arrival. In this paper, we consider the identifiability problem of a system under deterministic strength degradation and stochastic damage due to shocks arriving according to a homogeneous Poisson process. We provide conditions under which the models are identifiable with respect to lifetime data only. We also consider current status data and suggest to collect additional information and discuss the issues of model identifiability under different data configurations.     

Coherent modeling of male and female mortality using Lee–Carter in a complex number framework

Forecasts of female and male mortality that are conducted independently run the risk of projecting implausible sex differentials and fail to exploit correlations that are known to exist between the sexes. We present a new model for the simultaneous modeling of female and male mortality. The model casts mortality as a complex-valued process where the real and imaginary parts correspond to female and male mortalities, respectively. Calculations proceed similarly to the usual Lee–Carter model, via the singular value decomposition, albeit in complex form. Initial applications suggest that the complex Lee–Carter gives fits that are broadly comparable to independent real fits, while offering the advantage of explicit modeling of the relationship between the sexes. Furthermore, model parameters are informative and easily-interpretable.     

A number of stable matchings in models of the Gale–Shapley type

We give some upper bounds on the maximum number of stable matchings in the Gale–Shapley marriage model with n$n$ men and n$n$ women. We also characterize, with the use of some graph-theoretical notions, the exact number of such matchings, assuming that the preferences of men and women are given.     

Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data

Recent developments in actuarial literature have shown that credibility theory can serve as an effective tool in mortality modelling, leading to accurate forecasts when applied to single or multi-population datasets. This paper presents a crossed classification credibility formulation of the Lee–Carter method particularly designed for multi-population mortality modelling. Differently from the standard Lee–Carter methodology, where the time index is assumed to follow an appropriate time series process, herein, future mortality dynamics are estimated under a crossed classification credibility framework, which models the interactions between various risk factors (e.g. genders, countries). The forecasting performances between the proposed model, the original Lee–Carter model and two multi-population Lee–Carter extensions are compared for both genders of multiple countries. Numerical results indicate that the proposed model produces more accurate forecasts than the Lee–Carter type models, as evaluated by the mean absolute percentage forecast error measure. Applications with life insurance and annuity products are also provided and a stochastic version of the proposed model is presented.     

Existence of solutions to the Kobayashi–Warren–Carter system

In this paper, a coupled system of two parabolic type initial-boundary value problems is considered. The system is known as the Kobayashi–Warren–Carter model of grain boundary motion in a polycrystal. Kobayashi–Warren–Carter model is derived as a gradient descent flow of an energy functional, which is called “free-energy”, with respect to two unknown variables and it involves a weighted-unknown dependent total variation term. The main goal of this paper is to obtain existence of solutions to this system. We solve the problem by means of a time-discretization of a relaxed system and a highly non-trivial passage to the limit. We point out that our time-discretization method is effective not only for the original Kobayashi–Warren–Carter system but also for its relaxed versions. Therefore, we provide a uniform approach for obtaining solutions to systems associated with this model.     

Input–Output Identifiability of Continuous-Time Linear Systems

In time-domain identification of linear systems the aim is to estimate the impulse response or transfer function of a linear system to within a given tolerance using a finite number of noisy observations of the output. Whether this is possible depends on the model set, that is, a given set to which the system is assumed to belong a priori. We give necessary and sufficient conditions on the model set to ensure that such identification is possible in the continuous-time case.     

Qualitative analysis of Beddington–DeAngelis type impulsive predator–prey models

In the paper, the impulsive predator–prey models with Beddington–DeAngelis functional response are studied. Conditions for the existence and stability of a prey-free solution and for the existence of a nontrivial periodic solution have been established. Also, we find a sufficient condition that the model is permanent and show that the model has complex dynamical behaviors via bifurcation diagrams.     

Carter–Payne homomorphisms and Jantzen filtrations

We prove a q-analogue of the Carter–Payne theorem in the case where the differences between the parts of the partitions are sufficiently large. We identify a layer of the Jantzen filtration which contains the image of these Carter–Payne homomorphisms and we show how these homomorphisms compose.     

Local solvability and solution blow-up of one-dimensional equations of the Yajima–Oikawa–Satsuma type

We consider one-dimensional equations of the type of the Yajima–Oikawa–Satsuma ion acoustic wave equation and prove the local solvability. Using the test function method, we obtain sufficient conditions for solution blow-up and estimate the blow-up time.     

Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates

Linearized versions of the Nelson–Siegel (1987) and Svensson (1994) models for the cross-sectional estimation of spot yield curves from samples of coupon bonds are developed and analyzed. It is shown how these models can be made linear in the level, slope and curvature parameters and how prior information about these parameters can be incorporated in the estimation procedure. The performance of the linearized models are assessed in a Monte Carlo setting and with a sample of US government bonds. The results reveal that the linearized models compare favorably to the original models in terms of parameter estimates stability, computing effort and prevalence of local optima.     

A comparison of one-dimensional and three-dimensional models for the simulation of gas–solids transport systems

This paper compares the use of one-dimensional (1-D) and a three-dimensional (3-D) models to simulate the flow of a gas–solids mixture through a pipeline. Both models solve steady flow conservation equations for mass, momentum and energy. The implementation of each model is presented in terms of the changes made to the generic model in order to describe this type of flow. Performance data was obtained for a pneumatic conveying system used to convey pulverised fuel ash (PFA) in a power station. Each model was used to simulate the behaviour of this ash transfer line.     

On symmetrized stochastic convexity and the inequalities of Hermite–Hadamard type

Aequationes mathematicae - In this paper the concept of symmetrized convex stochastic processes is introduced. Some characterizations involving Hermite–Hadamard type inequalities and a...     

Normal forms of functional-differential equations of Beardon type and Briot–Bouquet type equations in the complex domain

We study local analytic solutions of the functional-differential equation of the form \({h(\psi(z)) = b(z) h(z) h^\prime(z) + d(z)h(z)^{2}}\) which are called Beardon type functional-differential equations. All functions involved are supposed to be holomorphic in a neighbourhood of zero. Special cases are the equations f(kz) =  kf(z) f′(z) where k is a complex number, \({k \neq 0}\), and \({f(\varphi(z)) = a(z) f(z) f'(z)}\) with given \({\varphi}\) and a. The class of these equations is invariant under transformations \({h \to \alpha h, \alpha(z) \neq 0}\) for all z in a neighbourhood of zero, of the unknown function and \({z \to T(z)}\) of the argument z. In particular, we are interested to know under which conditions a Beardon type functional-differential equation can be transformed to the simplified (normal form) \({h(kz) = k h(z) h'(z) + c(z) h(z)^2}\) where \({k \in \mathbb {C} \backslash\left\{0\right\}}\). We solve this normal form by another transfomation to a so-called Briot–Bouquet type functional-differential equation.