Torsten Kleinow
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View article: Lapse-supported life insurance and adverse selection
Lapse-supported life insurance and adverse selection Open
If individuals at the highest mortality risk are also least likely to lapse a life insurance policy, then lapse-supported premiums magnify adverse selection costs. As an example, we model ‘Term to 100’ contracts, and risk as revealed by ge…
View article: The short-term association between environmental variables and mortality: evidence from Europe
The short-term association between environmental variables and mortality: evidence from Europe Open
Using fine-grained, publicly available data, this article studies the short-term association between environmental factors, i.e. weather and air pollution characteristics, and weekly mortality rates in small European regions. Hereto, we de…
View article: Lapse-supported life insurance and adverse selection
Lapse-supported life insurance and adverse selection Open
If individuals at the highest mortality risk are also least likely to lapse a life insurance policy, then lapse-supported premiums magnify adverse selection costs. As an example, we model 'Term to 100' contracts, and risk as revealed by ge…
View article: On technical bases and surplus in life insurance
On technical bases and surplus in life insurance Open
We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regulations than Scandinavian-style 'first-ord…
View article: The short-term association between environmental variables and mortality: evidence from Europe
The short-term association between environmental variables and mortality: evidence from Europe Open
Using fine-grained, publicly available data, this paper studies the short-term association between environmental factors, i.e., weather and air pollution characteristics, and weekly mortality rates in small geographical regions in Europe. …
View article: Drivers of mortality: risk factors and inequality
Drivers of mortality: risk factors and inequality Open
This paper takes a detailed look at socio-economic variation in mortality across England. Generic metrics such as the index of multiple deprivation (IMD) can be effective at the aggregate level of national deciles, but we demonstrate that …
View article: On Technical Bases and Surplus in Life Insurance
On Technical Bases and Surplus in Life Insurance Open
We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regulations than Scandinavian-style `first-ord…
View article: Cause-of-Death Contributions to Declining Mortality Improvements and Life Expectancies Using Cause-Specific Scenarios
Cause-of-Death Contributions to Declining Mortality Improvements and Life Expectancies Using Cause-Specific Scenarios Open
In recent years, improvements in all-cause mortality rates and life expectancies for males and females in England and Wales have slowed down. In this article, cause-specific mortality data for England and Wales from 2001 to 2018 are used t…
View article: Modelling socio-economic mortality at neighbourhood level
Modelling socio-economic mortality at neighbourhood level Open
In this study, we quantify the relationship between socio-economic status and life expectancy and identify combinations of socio-economic variables that are particularly useful for explaining mortality differences between neighbourhoods in…
View article: The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices Open
In this paper, we determine the fair value of a pension buyout contract under the assumption that changes in mortality can have an impact on financial markets. Our proposed model allows for shocks to occur simultaneously in mortality rates…
View article: Cause-of-death contributions to declining mortality improvements and life expectancies using cause-specific scenarios
Cause-of-death contributions to declining mortality improvements and life expectancies using cause-specific scenarios Open
In recent years, improvements in all-cause mortality rates and life expectancies for males and females in England and Wales have slowed down. In this paper, cause-specific mortality data for England and Wales from 2001 to 2018 are used to …
View article: The impact of mortality shocks on modelling and insurance valuation as exemplified by COVID-19
The impact of mortality shocks on modelling and insurance valuation as exemplified by COVID-19 Open
The COVID-19 pandemic interrupts the relatively steady trend of improving longevity observed in many countries over the last decades. We claim that this needs to be addressed explicitly in many mortality modelling applications, for example…
View article: An actuarial model of arrhythmogenic right ventricular cardiomyopathy and life insurance
An actuarial model of arrhythmogenic right ventricular cardiomyopathy and life insurance Open
Many countries ban insurers from using genetic test results in underwriting. One study [Howard, R. C. W. (2014). Report to CIA research committee: Genetic testing model: If the underwriters had no access to known results. Canadian Institut…
View article: Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model
Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model Open
We introduce four variants of the common age effect model proposed by Kleinow, which describes the mortality rates of multiple populations. Our model extensions are based on the assumption of multiple common age effects, each of which is s…
View article: Will genetic test results be monetized in life insurance?
Will genetic test results be monetized in life insurance? Open
If life insurers are not permitted to use genetic test results in underwriting, they may face adverse selection. It is sometimes claimed that applicants will choose abnormally high sums insured as a form of financial gamble, possibly finan…
View article: A stochastic implementation of the APCI model for mortality projections
A stochastic implementation of the APCI model for mortality projections Open
The Age-Period-Cohort-Improvement (APCI) model is a new addition to the canon of mortality forecasting models. It was introduced by Continuous Mortality Investigation as a means of parameterising a deterministic targeting model for forecas…
View article: Minimum reversion in multivariate time series
Minimum reversion in multivariate time series Open
We propose a new multivariate time series model in which we assume that each component has a tendency to revert to the minimum of all components. Such a specification is useful to describe phenomena where each member in a population which …
View article: International Mortality and Longevity Symposium
International Mortality and Longevity Symposium Open
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View article: Financial fairness and conditional indexation
Financial fairness and conditional indexation Open
Collective pension contracts can generate advantages for their participants by implementing forms of risk sharing. To ensure the continuity of a collective scheme, it has to be monitored whether the contracts offered to participants are fi…
View article: A common age effect model for the mortality of multiple populations
A common age effect model for the mortality of multiple populations Open
We introduce a model for the mortality rates of multiple populations. To build the proposed model we investigate to what extent a common age effect can be found among the mortality experiences of several countries and use a common principa…