Si avvisa che in data 14/05/2019, alle ore 12:30 , presso Aula seminari del terzo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:
Titolo: Actuarial and behavioural approaches to longevity modelling
Relatore: Giovanna Apicella University of St. Gallen, Switzerland
In the seminar, we combine ideas and methods from behavioral economics and actuarial science, with respect to the study of the longevity phenomenon. In the first part, we discuss actuarial approches to longevity modelling. In particular, we introduce a new dynamic corrective methodology of the predictive accuracy of extrapolative stochastic mortality models (Apicella , Dacorogna, Di Lorenzo and Sibillo 2019); such a method exploits the features of the Cox-Ingersoll-Ross stochastic process to provide a mortality model benchmark on the fitting time horizon, along with a sound and parsimonious corrective factor on the forecasting time horizon. By exploiting the Cairns-Blake-Dowd model (also known as Model M5) as the baseline model, it is shown how much, in both a static and dynamic setting, the ex-post forecasting performance of the baseline is increased, as a result of the applied correction (mCBD model). In the second part, we address the topic of longevity modelling under a behavioural perspective, that is subject of a lively and topical discussion in the literature: we make a brief overview of subjective beliefs about individual longevity and the behavioural biases potentially affecting them. Survival beliefs contain unique information about mortality and affect economic decisions, such as the willingness to buy life insurance products, i.e. annuities. Relevant literature is discussed. Along with contextualizing our research, also a few preliminary research outcomes in this framework are shown.
This is a joint work Prof. Enrico de Giorgi.