Séminaire d’actuariat – Kenneth Zhou

 Jeudi 20 juin 2024, 14h00 – 15 h 00

Présentiel : Salle CMT2106 – Pavillon Paul Comtois

Kenneth Zhou
Assistant Professor, School of Mathematical and Statistical Sciences at Arizona State University

 A new paradigm of mortality modeling via individual vitality

Abstract : The significance of mortality modeling extends across multiple research areas, including life insurance valuation, longevity risk management, life-cycle hypothesis, and retirement income planning. Despite the variety of existing approaches, such as mortality laws, intensity processes, and factor-based models, they often lack compatibility or fail to meet specific research needs. To address these shortcomings, our study introduces a novel approach centered on modeling the dynamics of individual vitality and defining mortality as the depletion of vitality level to zero. More specifically, we develop a four-component modeling framework to analyze the initial value, trend, diffusion, and sudden changes in vitality level over an individual’s lifetime. Our vitality-based mortality model stands out for its modularity, broad applicability, and enhanced interpretability, offering an alternative paradigm for mortality modeling. We demonstrate the model’s estimation and analytical capabilities through a numerical example, followed by a detailed discussion on its practical implementation and significance in various research directions.

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