arXiv subjects

Torsten Kleinow

Publications and source records attributed to Torsten Kleinow.

8 recordsLinked to original sources

arXiv2026

Socio-demographic inequalities in the maximum human lifespan: evidence from Belgium and the Netherlands

The existence of an upper limit to the human lifespan has been widely debated, with studies offering both supporting and opposing evidence. Existing studies typically treat this limit, if it exists, as a population-wide constant, overlooking potential heterogeneity across individuals. Using unique individual-level death and population records for all individuals aged 90 and older in Belgium and the Netherlands between 1995 and 2022, we use extreme value theory to estimate the upper endpoint of the lifespan distribution, conditional on survival beyond a high threshold age. We find that this endpoint is finite in both countries, but that it is not well described by a single population-wide value: differences in sex, household type, civil status, and origin translate into differences of several years in the estimated upper endpoint. We conclude that socio-demographic inequality persists even at the most advanced ages.

stat.AP↗

arXiv2025

A review of the Markov model of life insurance with a view to surplus

We review Markov models of surplus in life insurance based on a counting process following Norberg (1991), uniting probabilistic theory with elements of practice largely drawn from UK experience. First, we organize models systematically based on one and two technical bases, including a suitable descriptive notation. Extending this to three technical bases to accommodate different valuation approaches leads us: (a) to expand the definition of 'technical basis' to include non-contractual cashflows recognized in the associated Thiele equation; and (b) to add new (mainly) systematic terms to the surplus. Making these cashflows dynamic or 'quasi-contractual' covers many real applications, and we give two as examples, the paid-up valuation principle and reversionary bonus on participating contracts.

q-fin.PR↗

arXiv2025

Granular mortality modeling with temperature and epidemic shocks: a three-state regime-switching approach

This paper develops a granular regime-switching framework to model mortality deviations from seasonal baseline trends driven by temperature and epidemic shocks. The framework features three states: (1) a baseline state that captures observed seasonal mortality patterns, (2) an environmental shock state for heat waves, and (3) a respiratory shock state that addresses mortality deviations caused by strong outbreaks of respiratory diseases due to influenza and COVID-19. Transition probabilities between states are modeled using covariate-dependent multinomial logit functions. These functions incorporate, among others, lagged temperature and influenza incidence rates as predictors, allowing dynamic adjustments to evolving shocks. Calibrated on weekly mortality data across 21 French regions and six age groups, the regime-switching framework accounts for spatial and demographic heterogeneity. Under various projection scenarios for temperature and influenza, we quantify uncertainty in mortality forecasts through prediction intervals constructed using an extensive bootstrap approach. These projections can guide healthcare providers and hospitals in managing risks and planning resources for potential future shocks.

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arXiv2024

Lapse-supported life insurance and adverse selection

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 genetic test results. We identify three methods of managing lapse surplus: eliminating it by design; disposing of it retrospectively (through participation); or disposing of it prospectively (through lapse-supported premiums). We then assume a heterogeneous population in which: (a) insurers cannot identify individuals at high mortality risk; (b) a secondary market exists that prevents high-risk policies from lapsing; (c) financial underwriting is lax or absent; and (d) life insurance policies may even be initiated by third parties as a financial investment (STOLI). Adverse selection losses under (a) are typically very small, but under (b) can be increased by multiples, and under (c) and (d) increased almost without limit. We note that the different approaches to modeling lapses used in studies of adverse selection and genetic testing appear to be broadly equivalent and robust.

q-fin.RM↗

arXiv2024

The short-term association between environmental variables and mortality: evidence from Europe

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. Hereto, we develop a mortality modeling framework where a baseline model describes a region-specific, seasonal trend observed within the historical weekly mortality rates. Using a machine learning algorithm, we then explain deviations from this baseline using features constructed from environmental data that capture anomalies and extreme events. We illustrate our proposed modeling framework through a case study on more than 550 NUTS 3 regions (Nomenclature of Territorial Units for Statistics, level 3) in 20 European countries. Using interpretation tools, we unravel insights into which environmental features are most important when estimating excess or deficit mortality relative to the baseline and explore how these features interact. Moreover, we investigate harvesting effects through our constructed weekly mortality modeling framework. Our findings show that temperature-related features are most influential in explaining mortality deviations from the baseline over short time periods. Furthermore, we find that environmental features prove particularly beneficial in southern regions for explaining elevated levels of mortality, and we observe evidence of a harvesting effect related to heat waves.

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arXiv2023

On Technical Bases and Surplus in Life Insurance

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-order/second-order' regimes, and replacing the traditional retrospective policy value. We propose a `canonical' model with three technical bases (premium, valuation, accumulation) and show how each pair of bases defines premium loadings and surplus. Along with a `true' or `real-world' experience basis, this expands fundamental results of Ramlau-Hansen (1988a). We conclude with two applications: lapse-supported business; and the retrospectively-oriented regime proposed by M{\o}ller & Steffensen (2007).

q-fin.RM↗

arXiv2022

Cause-of-death contributions to declining mortality improvements and life expectancies using cause-specific scenarios

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 investigate the cause-specific contributions to the slowdown in improvements. Cause-specific death counts in England and Wales are modelled using negative binomial regression and a breakpoint in the linear temporal trend in log mortality rates is investigated. Cause-specific scenarios are generated, where the post-breakpoint temporal trends for certain causes are reverted to pre-breakpoint rates and the effect of these changes on age-standardised mortality rates and period life expectancies is explored. These scenarios are used to quantify cause-specific contributions to the mortality improvement slowdown. Reductions in improvements at older ages in circulatory system diseases, as well as the worsening of mortality rates due to mental and behavioural disorders and nervous system diseases, provide the greatest contributions to the reduction of improvements in age-standardised mortality rates and period life expectancies. Future period life expectancies scenarios are also generated, where cause-specific mortality rate trends are assumed to either persist or be reverted. In the majority of scenarios, the reversion of cause-specific mortality trends in a single cause of death results in the worsening of period life expectancies at birth and age 65 for both males and females. This work enhances the understanding of cause-specific contributions to the slowdown in all-cause mortality rate improvements from 2001 to 2018, while also providing insights into causes of death that are drivers of life expectancy improvements. The findings can be of benefit to researchers, policy-makers and insurance professionals.

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arXiv2018

Minimum reversion in multivariate time series

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 is subjected to random noise mimics the behaviour of the best performing member. We show that the proposed dynamics generate co-integrated processes.We characterize the model's asymptotic properties for the case of two populations and show a stabilizing effect on long term dynamics in simulation studies. An empirical study involving human survival data in different countries provides an example which confirms the occurrence of the phenomenon of reversion to the minimum in real data.

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