Department of

# Mathematics

Seminar Calendar
for events the day of Friday, January 24, 2020.

.
events for the
events containing

Questions regarding events or the calendar should be directed to Tori Corkery.
    December 2019           January 2020          February 2020
Su Mo Tu We Th Fr Sa   Su Mo Tu We Th Fr Sa   Su Mo Tu We Th Fr Sa
1  2  3  4  5  6  7             1  2  3  4                      1
8  9 10 11 12 13 14    5  6  7  8  9 10 11    2  3  4  5  6  7  8
15 16 17 18 19 20 21   12 13 14 15 16 17 18    9 10 11 12 13 14 15
22 23 24 25 26 27 28   19 20 21 22 23 24 25   16 17 18 19 20 21 22
29 30 31               26 27 28 29 30 31      23 24 25 26 27 28 29



Friday, January 24, 2020

3:00 pm in 243 Altgeld Hall,Friday, January 24, 2020

#### Statistical inference for mortality models

###### Chen Ling (Georgia State University)

Abstract: Underwriters of annuity products and administrators of pension funds are under ﬁnancial obligation to their policyholder until the death of counterparty. Hence, the underwriters are subject to longevity risk when the average lifespan of the entire population increases, and yet, such risk can be managed through hedging practices based on parametric mortality models. As a benchmark mortality model in insurance industry is Lee-Carter model, we ﬁrst summarize some ﬂaws regarding the model and inference methods derived from it. Based on these understandings we propose a modiﬁed Lee-Carter model, accompanied by a rigorous statistical inference with asymptotic results and satisfactory numerical and simulation results derived from a small sample. Then we propose bias corrected estimator which is consistent and asymptotically normally distributed regardless of the mortality index being a unit root or stationary AR(1) time series. We further extend the model to accommodate AR(2) process for mortality index, and, a bivariate dataset of U.S. mortality rates. Finally, we conclude by a detailed model validation and some discussions of potential hedging practices based on our parametric model.

3:00 pm in 347 Altgeld Hall,Friday, January 24, 2020

#### Organizational Meeting

###### Kesav Krishnan (UIUC Math)

Abstract: This organizational meeting will be to decide on a schedule of speakers. All are welcome

4:00 pm in 141 Altgeld Hall,Friday, January 24, 2020