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ItemNo Preview AvailablePricing extreme mortality risk in the wake of the COVID-19 pandemicLi, H ; Liu, H ; Tang, Q ; Yuan, Z (ELSEVIER, 2023-01)In pricing extreme mortality risk, it is commonly assumed that interest rate and mortality rate are independent. However, the COVID-19 pandemic calls this assumption into question. In this paper, we employ a bivariate affine jump-diffusion model to describe the joint dynamics of interest rate and excess mortality, allowing for both correlated diffusions and joint jumps. Utilizing the latest U.S. mortality and interest rate data, we find a significant negative correlation between interest rate and excess mortality, and a much higher jump intensity when the pandemic experience is considered. Moreover, we construct a risk-neutral pricing measure that accounts for both diffusion and jump risk premia, and we solve for the market prices of risk based on mortality bond prices. Our results show that the pandemic experience can drastically change investors' perception of the mortality risk market in the post-pandemic era.
ItemConstructing occupation‐specific life tables for ChinaLi, H ; Hanewald, K ; Liao, P (Society of Actuaries, 2019)This report documents the “Constructing Occupation-Specific Life Tables for China” project commissioned by the Society of Actuaries under the “China Research Topics” proposal. The purpose of the project is to construct the most up-to-date occupational life tables for male and female urban employees in China based on administrative data from the Beijing Public Pension System for the period 2005–2009.
ItemExamining the oldest-old mortality in the U.S. A forecast reconciliation approachLi, H (Society of Actuaries, 2020)Understanding the heterogeneity in regional-level mortality experience is of fundamental importance. This paper analyzes the state-level mortality rates for 50 U.S. states as well as the District of Columbia at age 80 and above via a novel forecast reconciliation approach. Based on mortality data from 1990–2017, we project the 10-year-ahead mortality rates at national and state levels up to 2027. We find that the geographical heterogeneity in the old-age mortality experience is likely to continue and the mortality improvement rates will to slow in the next decade.