This dissertation studies the adverse financial implications of "longevity risk" and "mortality risk", which have attracted the growing attention of insurance companies, annuity providers, pension funds, public policy decision-makers, and investment banks. Securitization of longevity/mortality risk provides insurers and pension funds an effective, low-cost approach to transferring the longevity/mortality risk from their balance sheets to capital markets. The modeling and forecasting of the mortality rate is the key point in pricing mortality-linked securities that facilitates the emergence of liquid markets. First, this dissertation introduces the discrete models proposed in previous literature. The models include: the Lee-Carter Model, the Renshaw Haberman Model, The Currie Model, the Cairns-Blake-Dowd (CBD) Model, the Cox-Lin-Wang (CLW) Model and the Chen-Cox Model. The different models have captured different features of the historical mortality time series and each one has their own advantages. Second, this dissertation introduces a stochastic diffusion model with a double exponential jump diffusion (DEJD) process for mortality time-series and is the first to capture both asymmetric jump features and cohort effect as the underlying reasons for the mortality trends. The DEJD model has the advantage of easy calibration and mathematical tractability. The form of the DEJD model is neat, concise and practical. The DEJD model fits the actual data better than previous stochastic models with or without jumps. To apply the model, the implied risk premium is calculated based on the Swiss Re mortality bond price. The DEJD model is the first to provide a closed-form solution to price the q-forward, which is the standard financial derivative product contingent on the LifeMetrics index for hedging longevity or mortality risk. Finally, the DEJD model is applied in modeling and pricing of life settlement products. A life settlement is a financial transaction in which the owner of a life insurance policy sells an unneeded policy to a third party for more than its cash value and less than its face value. The value of the life settlement product is the expected discounted value of the benefit discounted from the time of death. Since the discount function is convex, it follows by Jensen's Inequality that the expected value of the function of the discounted benefit till random time of death is always greater than the benefit discounted by the expected time of death. So, the pricing method based on only the life expectancy has the negative bias for pricing the life settlement products. I apply the DEJD mortality model using the Whole Life Time Distribution Dynamic Pricing (WLTDDP) method. The WLTDDP method generates a complete life table with the whole distribution of life times instead of using only the expected life time (life expectancy). When a life settlement underwriter's gives an expected life time for the insured, information theory can be used to adjust the DEJD mortality table to obtain a distribution that is consistent with the underwriter projected life expectancy that is as close as possible to the DEJD mortality model. The WLTDDP method, incorporating the underwriter information, provides a more accurate projection and evaluation for the life settlement products. Another advantage of WLTDDP is that it incorporates the effect of dynamic longevity risk changes by using an original life table generated from the DEJD mortality model table. / text

Thesis (Ph.D. (Tropical Medicine)--Mahidol University, 2006. / LICL has E-Thesis 0018 ; please contact computer services. LIRV has E-Thesis 0018 ; please contact circulation services.

In the presented diploma thesis we study possibilities of forecasting mortality rates and we explain the most used models to measure it. The longevity and mortality risk are characterized and options for transfer of risks to other subjects are suggested. Further we applied LifeMetrics tool to predict mortality and quantify longevity risk in our data set, also possibilities of its usage are described in more details. The aim of the work is to provide the reader with sufficient amount of theoretical information about the used stochastic models for mortality prediction. Also the work may be helpful to gain deeper knowledge about longevity risk.

One of the classical problems in finance is that of an economic unit who aims at maximizing his expected life-time utility from consumption and/or terminal wealth by an effective asset-liability management. The purpose of this thesis is to determine the optimal investment strategies , from the point of view of their economic utility, for individual and institutional investors such pension funds.

The National Longitudinal Study of Adolescent Health was used to test predictions from life history theory. It was hypothesized that (1) in young adulthood an emerging life history strategy would exist as a common factor underlying many life history traits (e.g., health, relationship stability, and economic success), (2) both environmental harshness and unpredictability would account for unique variance in expression of adolescent and young adult life history strategies, and (3) adolescent life history traits would predict young adult life history strategy. These predictions were supported. The current findings suggest that the environmental parameters of harshness and unpredictability have concurrent effects on life history development in adolescence, as well as longitudinal effects into young adulthood. In addition, life history traits appear to be stable across developmental time from adolescence into young adulthood.

Life re-insurers are exposed to mortality catastrophe risk. Mortality CAT bonds are a tool that can mitigate this risk. However, a key disadvantage of this tool is the existence of population basis risk, which occurs whenever there are differences between reference and insured populations. In this thesis, we propose a method to measure population basis risk of mortality CAT bonds. We consider a fictitious mortality CAT bond based on the mortality rates of two regional populations. We first obtain mortality change indexes by calibrating the MBMM model on these two regional populations. Then we use copula-based semi-parametric models to simulate the serial dependence and interdependence structure simultaneously between two regional mortality change indexes. Finally, we analyze the hedge effectiveness of the bond, from which we are able to quantify the population basis risk. We find that population basis risk decreases under certain circumstances.

Diss. (sammanfattning) Stockholm : Karol. inst., 2006. / Härtill 5 uppsatser.

Thesis (D.P.H.)--University of Michigan.

Thesis (D.P.H.)--University of Michigan.

Background. There are few studies of renal function evaluation in visceral leishmaniasis (Kala-azar). The aim of this study was to investigate the clinical manifest and the risk factors associated with acute kidney injury (AKI) based on RIFLE criteria in patients with visceral leishmaniasis (VL). Methods. A retrospective study of medical records from patients over 14 years old, without previous kidney disease, with VL, treated at SÃo Josà Infectious Diseases Hospital, from 2002 to 2008. Clinical manifestations and risk factors for AKI (defined by using RIFLE criteria) were studied. A multivariate analysis was performed to analyze the risk factors for AKI. Results. A total of 224 patients were included. The mean age was 36Â15 years and 76.8% were males. AKI was observed in 76 patients (33.9% of cases) and % 52.6 (40) were class F on RIFLE criteria. The main clinical symptoms were dyspnea, edema and jaundice in patients with VL and AKI (p<0.05). Oliguria was observed in 6.5% of patients with AKI. Risk factors associated with AKI were male gender (OR=2.2, 95% CI= 1.0-4.7, p=0.03), age > 40 years (OR = 1.05, 95% CI= 1.02-1.08, p < 0.001) and jaundice (OR=2.9, 95% CI= 1.5-5.8 p=0.002). There was an strong association between amphotericin B use and AKI (OR=18.4, 95% CI=7.9-42.8, p<0.0001), whereas glucantime use was associated with a lower incidence of AKI when compared to amphotericin B users (OR=0.05, 95% CI=0.02-0.12, p<0.0001). Mortality was 13.3% and it was higher in AKI patients (30.2% vs. 4.7%, p<0.0001). RIFLE criteria presented mortality 40%, 20.8% e 35% in R, I and F respective class. Conclusions. The risk factors associated with AKI in patients with VL were male gender, advanced age, jaundice and amphotericin B. The last one was the most important factor of AKI in VL. / IntroduÃÃo. Hà poucos dados na literatura que relacionam a Leishmaniose visceral (LV) à lesÃo renal aguda (LRA). O objetivo deste estudo à avaliar as manifestaÃÃes clÃnicas e fatores de risco associados à LRA em pacientes com LV e aplicar o critÃrio RIFLE. MÃtodo. Estudo retrospectivo, incluindo pacientes acima de 14 anos, sem doenÃa renal prÃvia, com diagnÃstico de LV, internados no HSJ entre 2002 e 2008. Foram avaliadas manifestaÃÃes clÃnicas e os fatores de risco relacionados à LRA (avaliada atravÃs do critÃrio RIFLE) nesses pacientes, aplicando regressÃo logÃstica multivariada. Resultados. Foram incluÃdos 224 pacientes com idade mÃdia de 36Â15 anos sendo 76,8% do gÃnero masculino. LRA foi observada em 76 pacientes (33,9%) sendo que 52,6% (40) estavam na classe F do critÃrio RIFLE. Dispneia, edema e icterÃcia foram os principais sinais e sintomas associados à LRA (p<0,05). OligÃria foi observada em 6,5% dos pacientes com LRA. Os fatores de risco associados à LRA foram gÃnero masculino (OR=2,2, 95% IC=1,0-4,7, p=0,03), idade acima de 40 anos (OR = 1,05, 95% IC = 1,02-1,08, p<0,001) e icterÃcia (OR=2,9, 95% IC=1,5-5,8, p=0,002). Foi verificada considerÃvel associaÃÃo entre o emprego de anfotericina B e LRA (OR=18,4, 95% IC=7,9-42,8, p<0,0001), contudo o uso de glucantime foi associado a menor ocorrÃncia de LRA (OR=0,05, 95% IC=0,02-0,12, p<0,0001). A mortalidade geral foi 13,3% e foi mais alta nos pacientes que desenvolveram LRA (30,2% vs. 4,7%, p<0,0001). Os percentuais de mortalidade nas classes R, I e F foram respectivamente 40%, 20,8% e 35%. ConclusÃes. Os fatores de risco preditores de LRA em pacientes com LV foram sexo masculino, anfotericina B, idade acima de 40 anos e icterÃcia. Anfotericina B foi o fator mais importante de LRA na LV.