In this paper, we investigate the construction of mortality indexes using the time-varying parameters in common stochastic mortality models. We first study how existing models can be adapted to satisfy the new-data-invariant property, a property that is required to ensure the resulting mortality...

We examine the application of a Poisson common factor model for the projection of mortality jointly for females and males. The model structure is an extension of the classical Lee-Carter method in which there is a common factor for the aggregate population, while a number of additional...

Natural hedging is one possible method to reduce longevity risk exposure for an annuity provider or a pension plan. In this paper, we provide an assessment of the effectiveness of natural hedging between annuity and life products, using the correlated Poisson Lee–Carter model, Poisson common...

When a bonus–malus system with a single set of optimal relativities and a set of simple transition rules is implemented, two inadequacy scenarios are induced because all policyholders are subject to the same a posteriori premium relativities (level transitions) independent of their a priori...

The Center for Financial Stability (CFS) has initiated a new Divisia monetary aggregates database, maintained within the CFS program called Advances in Monetary and Financial Measurement (AMFM). The Director of the program is William A. Barnett, who is the originator of Divisia monetary...

We re-evaluate the cash flow–investment relation from a new angle in a setting where the firm can access capital markets and faces different investment opportunity sets. Instead of replying on cash flow, we introduce other forms of finance to interact with investment. We find that financial...

In the present study, waste rapeseed oil with high free fatty acids (FFA) was used as feedstock for producing biodiesel. In the pretreatment step, FFA was reduced by distillation refining method. Then, biodiesel was produced by alkaline-catalyzed transesterification process, which was designed...

Xitiaoxi catchment is one of the most important catchments in the Taihu basin in China. Due to its significant contribution of surface runoff and associated nutrients input to Lake Taihu, understanding of the processes of surface runoff in this catchment is, therefore, of primary importance in...