Dear colleagues,

On 10 July 2025 at 2pm (CET), Annamaria Olivieri, (University of Parma (Italy), Department of Economics and Management) will present an online seminar whose title is:

Modelling Stochastic Mortality for Life Insurance Applications

Abstract: In the closing decade of the last century, a generalized decrease in mortality rates has been reported in many countries, especially at adult and old ages, which was highly unanticipated. Until then, the modelling of mortality for insurance applications was mainly deterministic since, according to the classical insurance paradigm, in sufficiently large and homogeneous pools there is a high probability to achieve an outcome in line with what expected. Uncertain mortality trends are against such an argument. Net of the effect of the pandemic, the decreasing trend in mortality has persisted to current times, at a pace that remains random.

Mortality has a clear impact on the liabilities of the life insurance (and pension) industry and an adequate mortality forecasting is among the key elements of an effective risk management design for a life insurer (or a pension fund), especially when longevity benefits are involved. Starting from the end of the last century, stochastic mortality modelling has become a core topic of actuarial science and many studies have greatly enriched the actuarial literature. In this presentation, the main characteristics of mortality trends are first summarized, with particular regard to the Italian population. Then, mortality and longevity risks are defined. Finally, a review of the main stochastic mortality models developed for actuarial purposes is provided.

The seminar link is: https://uniroma1.zoom.us/j/85751921753

This is the second seminar of a series of three seminars organised by UMI-PRISMA on the Applications of Probability to Economics in preparation to the 2025 Summer School of Mathematics for Economic and Social Sciences: https://indico.sns.it/event/105/overview

The next seminar will be:

on 17 July 2025 at 2pm, Sara Merino Aceituno (Faculty of Mathematics, University of Vienna, Austria), Large particle limit for jump processes

The previous seminar was:

on 26 June 2025, Marta Leocata (LUISS Guido Carli, Department of AI, Data and Decision Sciences) Two applications of multi-agent models in economic and social systems

Everybody is welcome to join these seminars!

The organisers Giulio Bottazzi, Alessandro Calvia, Marco Capaldo, Enrico Scalas