6 papers
Mortality Heterogeneity and Actuarial Fairness in China's Notional Defined Contribution Pension System
Xiaoyu Dong, Hong Li, Kenneth Q. Zhou +1
We study actuarial fairness in China's notional defined contribution (NDC) pension system when mortality differs across income groups. Under current rules, individual account balan…
The Long Shadow of Pandemic: Understanding the lingering effects of cause-specific mortality shocks
Yanxin Liu, Kenneth Q. Zhou
In the aftermath of the COVID-19 pandemic, empirical data have revealed that large-scale health crises not only cause immediate disruptions in mortality dynamics but also have pers…
Fair Pricing in Long-Term Insurance: A Unified Framework
Hong Beng Lim, Mengyi Xu, Kenneth Q. Zhou
Extant literature on fair pricing methods for actuarial contexts has primarily focused on the regression setting. While such approaches are well-suited to short-term products, it i…
Mortality Modeling and Forecasting with the Actuaries Climate Index
Karim Barigou, Melanie Patten, Kenneth Q. Zhou
Climate change poses increasing challenges for mortality modeling and underscores the need to integrate climate-related variables into mortality forecasting. This study introduces…
Modeling Excess Mortality and Interest Rates using Mixed Fractional Brownian Motions
Kenneth Q. Zhou, Hongjuan Zhou
Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate…
A new paradigm of mortality modeling via individual vitality dynamics
Xiaobai Zhu, Kenneth Q. Zhou, Zijia Wang
The significance of mortality modeling extends across multiple research areas, ranging from life insurance valuation to optimal lifetime decision-making. Existing approaches, such…