Leader: Massimo Costabile (UNICAL); Other collaborator(s): Diego Ciccone (GENERALI)
Contribute to the design of innovative insurance products to mitigate the risk of an ageing population on the balance sheet of insurance companies. Determine the risk exposure of life insurance products with respect to different mortality pattern.
Brief description of the activities and of the intermediate results:
The research provided a continuous-time joint mortality model for the actuarial valuation and risk analysis of life insurance liabilities, exploiting recent developments in polynomial diffusion processes. The framework accounts for the stochastic behavior of future mortality improvements and uses a common subordinator for the marginal survival processes, thereby introducing a non-trivial dependence structure between the survival of pairs of individuals. The model can be used to evaluate products issued to multiple lives. The main advantage of the approach is to handle fatal shock events in the dependence structure. Moreover, a methodology for adding other sources of dependency to this approach is provided. In such a setup, the no-arbitrage prices of some common life insurance products for coupled lives are derived.
Moreover, the research of WP5 provided a measure of the gender gap in mortality rates, say “Gender Gap Ratio”, for several ages and countries. Stylized facts that characterize the historical trend of the Gender Gap Ratio are highlighted and ad future projections are obtained. Successively, the ability of specific stochastic models to effectively estimate the gender gap ratio(GGR) has been estimated. The analysis encompasses several countries, including Italy, and highlights systematic evidence about the fitting bias and the model risk across ages and countries. These innovations were further explored, obtaining the GGR's prediction for 10 years after selecting the best fitting stochastic mortality model among the Generalized AgePeriod-Cohort (GAPC) models. Moreover, the impact of the GGR has been quantified and the differences between male and female cases have been identified, in the case of a temporary life annuity contract, so obtaining a kind of “monetary consistency” to the gender gap.
At the intersection between Task 5.4 and the group compound by Tasks 4.1, 4.3 (in WP4), the team dealt with quantitative models of interest for life-course welfare and health risks over the life course.
The research group proposed a measure of the difference between Healthy Life Expectancy in different countries, across some populations collected in the Global Burden of Disease database. The goal was to draw attention about similarities and differences between the countries considered; to this aim, a functional clustering method has been applied to the multivariate time series of the HLE Gap.
Main policy, industrial and scientific implications
- Explicit formulas for the premiums of insurance products written on the residual lifetimes of a couple are provided on the basis of an innovative model scheme
- Approaching life cycle contracts, information concerning the gender gap in mortality rates are obtained. Financial and insurance planning, as well as health insurance programs, would benefit from this.
Brief description of the activities and of the intermediate results:
Spatial inequalities and gender differences are the main drivers of unequal ageing.
1. Preliminary estimates show marked geographical patterns, which may contribute significantly to differences in the access to services for older people, suggesting differential resilience to unexpected shocks.
2. The gender gap in mean retirement income increases across cohorts and with age, but the relative gender gap decreases and survivor’s benefits reduce the gap remarkably, especially late in life: hence it is important to consider the whole “welfare package” within the family.
Brief description of the activities and of the intermediate results:
The measure of the gender gap in mortality rates is considered across a wide range of populations. With the aim of highlighting similarities and differences between the countries considered, a functional clustering method to the multivariate time series of Gender Gap Ratio is applied. The functional form of the trends is reconstructed from the available discrete observations, through non-parametric smoothing. Stylized facts that characterize the historical trend of the Gender Gap Ratio are highlighted and ad future projections are obtained. The measure of the gender gap in mortality rates is considered across a wide range of populations. With the aim of highlighting similarities and differences between the countries considered, a functional clustering method to the multivariate time series of Gender Gap Ratio is applied. The functional form of the trends is reconstructed from the available discrete observations, through non-parametric smoothing.
Successively, the ability of specific stochastic models to effectively estimate the gender gap ratio (GGR) has been estimated. The analysis encompasses several countries, including Italy, and highlights systematic evidence about the fitting bias and the model risk across ages and countries. A functional cluster analysis allows to capture similarities in the fitting performance.
Main policy, industrial and scientific implications:
1. Within this context, different longevity patterns among men and women can lead to different financial outcomes, as demonstrated by research. Finally, the empirical evidence underlines the importance of working towards a more widespread demographic literacy, so the objective is also to provide a variety of tools and strategies to increase awareness of longevity among individuals and policymakers. Infact, working towards a more widespread demographic literacy is crucial in the context of gender mainstreaming and gender equality policies. Governments and financial institutions could benefit from a reliable measurement of the expected gender gap in longevity.
2. Since this study demonstrates how financial literacy and demographic literacy can enhance individuals' understanding and choices, the results obtained are also useful in achieving goals concerning the Task 5.2, and promote the adoption of gender-inclusive perspective when implementing social development policies that target individuals' well-being in their senior years.
Brief description of the activities and of the intermediate results:
With regard to the creation of innovative contracts, the different longevity patterns among men and women have been explored. The empirical evidence underlines the importance of working towards a more widespread demographic literacy, so the objective was also to provide a variety of tools and strategies to increase awareness of longevity among individuals and policymakers. The performance of the Lee-Carter (LC) model has been investigated to fit the gender gap ratio (GGR), namely the ratio of male death rates to female ones. Moreover, the team dealt with quantitative models of interest for life-course welfare and health risks over the life course. A functional data clustering has been applied to the multivariate time series of HALE Gap Rate (HGR) of different countries.
Main policy, industrial and scientific implications:
Political and industrial implications:
1) HALE is an indicator essential for planning provision of health care to elderly populations and pricing Long Term Care product
2) When dealing with a rapid population aging, it is crucial to tune official forecasting accordingly so that policymakers may benefit from more accurate projections.
Dissemination Events:
- XLVII Annual Meeting of the Italian Association for Mathematics Applied to Social and Economic Sciences University of Milano-Bicocca, September 20-21-22, 2023
- 26th International Congress on Insurance: Mathematics and Economics, 04 - 07 July 2023,
Heriot-Watt University, Edinburgh, p.14
- the 26th International Congress on Insurance: Mathematics and Economics, 04 - 07 July 2023,
Heriot-Watt University, Edinburgh
- the 20th Conference of the Applied Stochastic Models and Data Analysis International Society ASMDA2023 and Demographics2023 Workshop, 6-9 June 2023, Heraklion, Crete, Greece.
- AHL-Napoli 2023: Scaling-up digital solutions for active and healthy living: implementing across scientific disciplines, industrial sectors and scenarios, University of Naples Federico II, 13-15 November 2023
- International Conference on Scientific Computing, Modeling and Simulation (ICSCMS-23), 29th November 2023, London, UK
- International Conference “Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2024”. University of Le Havre Normandie, Le Havre Cedex, April 4-6, 2024
- The 1st SWUFE-Sapienza International Finance Workshop,
- AGE-It General Meeting. Age-It announced the Call for Papers for the General Meeting, organized by Spoke 6, which took place in Venice at the Ca’ Foscari University from May 20th to May 22nd at San Giobbe Economic Campus – Cannaregio 873 – 30121 Venice. During the meeting, parallel sessions were hold dedicated to the research conducted by members of the Age-It community. Each session focused on a broad theme with contributions from various disciplines. Every session emphasized the implications of the research for practice and policies in the biomedical, demographic, social, and economic fields, and/or on technological innovation. The General Meeting was an important dissemination event that reached and engaged more than 400 participants. The main results presented and discussed at the Age-It general meeting, received significant attention by the research community and are expected to influence both practice and policies for an active and healthy ageing.
- 33rd European Conference on Operational Research, 30th June-3rd July 2024, Technical University of Denmark (DTU), Copenhagen, Denmark
- Scandinavian Actuarial Conference 2024, University of Copenhagen, Denmark – August 14-16, 2024
- XLVIII Annual Conference of the Association for Mathematics Applied to Social and Economic Sciences (AMASES). Ischia, September 5-6-7, 2024.
- The 18th International Joint Conference on Computational and Financial Econometrics (CFE) and Computational and Methodological Statistics (CMStatistics), CFE-CMStatistics 2024, 14-16 December 2024, King's College, London
Scientific Outputs:
- Domenico De Giovanni; Marco Pirra; Fabio Viviano, Joint mortality models based on linear hypercubes, Working paper 2023
- Apicella G., E. Di Lorenzo, G. Magni, M. Sibillo: Longevity comparison by gender: exploring the future through an evidence-based approach, 2023
- Apicella G., E. Di Lorenzo, G. Piscopo, M. Sibillo: The Functional Clustering of the Mortality Gender Gap: A Multi- country Analysis, 2023
- G. Apicella, E. De Giorgi, E. Di Lorenzo and M. Sibillo: The Gender Longevity Gap: improving economic decisions through demographic literacy. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4331841#Swiss Finance Institute Research Paper No. 23-02
- E. Di Lorenzo, F. Rania, M. Sibillo, A. Trotta: Meeting the challenges of longevity: lifetime income from real estate. In: Corazza, M., Gannon, F., Legros, F., Pizzi, C., Touzé, V. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2024. Springer, Cham. https://doi.org/10.1007/978-3-031-64273-9_21, ISBN 978-3-031-64272-2, pp. 124-129.
- G. Apicella, E. Di Lorenzo, G. Magni, M. Sibillo: The cost of retirement income provision: some quantitative insights in life insurance. . In: Corazza, M., Gannon, F., Legros, F., Pizzi, C., Touzé, V. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2024. Springer, Cham. https://doi.org/10.1007/978-3-031-64273-9_1, ISBN 978-3-031-64272-2, pp. 1-6.
- E. Di Lorenzo, G. Piscopo, M. Sibillo, A. Trotta: Looking toward the future: well-ageing solutions from the equity release mortgage. Encyclopedia of Monetary Policy, Financial Markets and Banking, Editor: Nicholas Apergis, Elsevier, 2024, ISBN 9780443157851, https://doi.org/10.1016/B978-0-44-313776-1.00267-1.
- G. Apicella, E. De Giorgi, E. Di Lorenzo and M. Sibillo: Financial and Demographic Literacy: Monetizing the Gender Mortality Gap. Applied Stochastic Models in Business and Industry, Applied Stochastic Models in Business and Industry, DOI: 10.1002/asmb.2876, 2024, pp. 1-23 https://onlinelibrary.wiley.com/doi/10.1002/asmb.2876
- R. Blundell, M. Borella, J. Commault, and M. Nardi (2023) Old Age Risks, Consumption, and Insurance. NBER Working Paper No. 2734
- Rosa Casillo, Permessi e agevolazioni per i lavoratori caregivers familiari (art. 3, comma 1, lett. B, d.lgs. n. 105/2022) in Fili, Garofalo, Tiraboschi, Trojsi, Trasparenza e attività di cura nei contratti di lavoro. Commentario ai decreti legislativo n. 105 e n. 105 del 2022, Adapt Labour Studies e-Book series n. 96, Adapt University Press, 2023, Tomo II, pp. 568- 576, ISBN 979-12-80922-15-1.
- Zied Chaieb, Domenico De Giovanni & Djibril Gueye (10 Oct 2023): Two hybrid models for dependent death times of couple: a common shock approach, Scandinavian Actuarial Journal, DOI: 10.1080/03461238.2023.2264555
- Devolder, E. Russo, Alessandro Staino: A flexible lattice model for fair policy valuations under multiple risk factors. Astin Bulletin (2024)
- Claudio Daminato, Mario Padula: The Life-Cycle Effects of Pension Reforms: A Structural Approach, Journal of the European Economic Association, 2023; jvad049, https://doi.org/10.1093/jeea/jvad049
- R. Casillo: La tutela in età di vecchiaia per i lavoratori non subordinati. In corso di stampa Collana di Diritto della sicurezza sociale
- Debon, S. Haberman, G. Piscopo: Multipopulation mortality analysis: bringing out the unobservable with latent clastering. Quality and Quantity, August 2023
- G. Apicella, E. Di Lorenzo, G. Piscopo, M. Sibillo: Lee-Carter model: Assessing the potential to capture gender-related mortality dynamics. Decisions in Economics and Finance (2023) https://doi.org/10.1007/s10203-023-00417
- E. Di Lorenzo, G. Piscopo, M. Sibillo: Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages. Computational Management Science 21, 11 (2024) https://doi.org/10.1007/s10287-023-00491-x
- E. Di Lorenzo, G. Piscopo, M. Sibillo: Reverse Mortgage: some remarks on the interplay between contract benefit and borrower’s age. Working paper (2023)
- E. Di Lorenzo, G. Piscopo, M. Sibillo: Multi country investigation of the Healthy Life Expectancy. Abstract. AHL-Napoli 2023: Scaling-up digital solutions for active and healthy living: implementing across scientific disciplines, industrial sectors and scenarios, University of Naples Federico II, 13-15 November 2023 (2023)
- Z. Chaieb, D. De Giovanni, D. Gueye (10 Oct 2023): Two hybrid models for dependent death times of couple: a common shock approach, Scandinavian Actuarial Journal, DOI: 10.1080/03461238.2023.2264555 https://doi.org/10.1080/03461238.2023.2264555
- R. Blundell, M. Borella, J. Commault, and M. Nardi (2023) Old Age Risks, Consumption, and Insurance. NBER Working Paper No. 27348
- Rosa Casillo: Invecchiamento e lavoro. Federalismi, ISSN 1826-3534
Numero 19, 2024, pp. 21-53
- Rosa Casillo: L’universalità della tutela di pensione per i lavoratori autonomi. Dottrina Previdenza - il Lavoro nella Giurisprudenza 7/2024, pp. 653-660
- E. Di Lorenzo, G. Piscopo, A. Roviello, M. Sibillo: Multi country analysis of the healthy life expectancy gap. Abstract - CFE-CMStatistics 2024
- G. Apicella, E. Di Lorenzo, G. Piscopo, M. Sibillo: Lee-Carter model: Biases and risk in the estimation of the gender mortality gap. Abstract - CFE-CMStatistics 2024