Mortality and Morbidity Risk
Project Leader: Professor Michael Sherris
Project overview
This project undertakes modelling essential for work in CEPAR projects on Retirement Policy Issues and Financial and Insurance Product Design, and relates to CEPAR projects Demographic Change and Optimal Policy, Macro-health Outcome Simulations and Social Determinants of Successful Ageing.
Led by CEPAR Chief Investigator Michael Sherris, this project is extending current functional disability and health status models to include systematic risk factors, informing product and policy development and health modelling.
Current actuarial modelling of functional disability and health status estimated from individual data assume time-homogeneous transition rates and allow these to vary by gender and age. They thus conflate idiosyncratic and systematic risk, since systematic risk is time-sensitive. Markov ageing models developed for mortality heterogeneity have yet to effectively incorporate time in-homogeneous transitions.
These systematic risk factors will initially include a factor representing stochastic mortality improvement. The impact of this systematic improvement factor on disability and mortality rates as well as recovery rates is being estimated using advanced statistical techniques initially using the HRS data. Different definitions of functional disability are being explored including those based on activities of daily living as well as measures of cognition. Relevant Australian data is also being accessed as part of the project and model estimation is being carried out for Australian data.
Researchers
MICHAEL SHERRIS
HÉLOÏSE LABIT HARDY
MENGYI XU
PENGYU WEI
YULONG LI
MICHELLE VHUDZIJENA
ADAM WENQIANG SHAO
ANDRÉS VILLEGAS
JONATHAN ZIVEYI
ZHIPING HUANG
YU CRYSTAL FU
Project highlights
Selected Journal Articles
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Xu, M., Sherris, M. and Meyricke, R. (2019), Systematic Mortality Improvement Trends and Mortality Heterogeneity: Insights from Individual-Level HRS Data, North American Actuarial Journal. https://doi.org/10.1080/10920277.2018.1513369
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Xu, Y., Sherris, M. and Ziveyi, J. (2019), Continuous-time multi-cohort mortality modelling with affine processes, Scandinavian Actuarial Journal. https://doi.org/10.1080/03461238.2019.1696223
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Xu, Y., Sherris, M. and Ziveyi, J. (2018), Market Price of Longevity Risk for A Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing, Journal of Risk and Insurance. https://doi.org/10.1111/jori.12273
» View all research publications «
Selected Working Papers
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The Application of Affine Processes in Cohort Mortality Risk Models, Zhiping Huang, Michael Sherris, Andrés M Villegas and Jonathan Ziveyi, 2019.
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A Multi-State Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty, Michael Sherris and Pengyu Wei, 2019.
Selected Engagement/Public Talks
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Xu, M. (2019), Health Status and Function Disability with Systematic Trends: A Comparison Between China and the US, 15th International Longevity Risk and Capital Markets Solutions Conference, September 2019.
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Villegas, A. (2019), A Data Analytics Paradigm for the Construction, Selection, and Evaluation of Mortality Models, Longevity 15, Washington DC, USA, September 2019.
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Sherris, M. (2019), The Application of Affine Processes in Cohort Mortality Risk Models, ARIA Annual Meeting, San Francisco, USA, August 2019.
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Li, Y. (2019), Health Status Mortality Modelling Based on A Multiple-state Markov Ageing Model, School of Risk and Actuarial Studies PhD Seminar, Business School, UNSW, July 2019.
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Villegas, A. (2019) Socioeconomic differences in mortality: recent trends and implications for pension programmes, DEVELOPMENTS IN PENSIONS International Pension Research Association Conference, Paris, June 2019.
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Villegas, A. (2019), A Data Analytics Paradigm for the Construction, Selection, and Evaluation of Mortality Models, Actuaries Summit, Sydney, Australia, June 2019.
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Villegas, A. (2019), A Data Analytics Paradigm for the Construction, Selection, and Evaluation of Mortality Models, Third International Congress on Actuarial Science and Quantitative Finance, Manizales, Colombia, June 2019.
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Sherris, M. (2019), Application of Affine Processes in Multi-Cohort Mortality Modelling, AFIR-ERM International Colloquium, Florence, Italy, May 2019.
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Sherris, M. (2019), Modelling Health Status and Functional Disability with Applications to Life Annuities and Long-Term Care Insurance, Invited Speaker, Macquarie University Financial Risk Day, March 2019.
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Villegas, A. (2019), A Data Analytics Paradigm for the Construction, Selection, and Evaluation of Mortality Models, Faculty of Actuarial Science and Insurance Seminar Series, Cass Business School, London, UK, January 2019.
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Li, Y. (2019), Health Status Mortality Modeling Based on A Multiple-state Markov Ageing Model, 14th International Longevity Risk and Capital Markets Solutions Conference, Amsterdam, Netherlands, September 2018.
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Li, Y. (2019), Health Status Mortality Modeling Based on A Multiple-state Markov Ageing Model, 22nd International Congress on Insurance: Mathematics and Economics, Sydney, Australia, July 2018.
Selected Keynote Lectures
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Modelling Health Status and Functional Disability with Applications to Life Annuities and Long-Term Care Insurance, Michael Sherris, UNISActuarial School 2018, September, 2018, Paestum (Salerno) Italy.
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Sherris, M. (2018), An Actuarial Perspective on Long Term Care Insurance (Plenary Talk), 4th International Conference of Long-Term Care Directors and Administrators, August 2018, UNSW Sydney.
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Session at the 2018 Life and Annuity Symposium on annuity product innovation (pooled annuities) and variable annuities by Sherris, Villegas and Ziveyi, May 2018.
Selected Reports
Related Research
This multi-year project, funded by the Society of Actuaries Center for Actuarial Excellence, addresses significant research issues for the actuarial profession in the area of longevity risk.
| CONTACT |
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Professor Michael Sherris |