Dr Reza Dastranj, (https://scholar.google.com/citations?user=0EWnYEkAAAAJ&hl=en) Institute of Statistics and Mathematics, Masaryk University, Czech Republic, will give a lecture as part of the Actuarial Science Seminar.

Time and place: Tuesday, June 3, 2025, 12:00 p.m., Helmholtzstrasse 22, Room 1.41

Title: Mixed-Effects Modelling of Mortality and Its Applications in Life Insurance

Abstract:

This talk presents recent work on modelling and forecasting mortality using Linear Mixed-Effects (LME) models. 
Our modelling approach treats age, the interaction between gender and age, their interactions with
predictors, and cohort effects as fixed effects. Random effects are introduced to account for variations in 
the intercept, predictor coefficients, and cohort effects among different age groups of females and males across
various countries. In the insurance context, we apply the LME model to a stylised Czech
portfolio, adjusting mortality rates with age-specific experience factors. We then compute Best 
Estimate Liabilities (BEL) and Solvency Capital Requirements (SCR), illustrating the LME model's 
ability to produce tighter forecast distributions due to its lower process variance. These results highlight the 
value of mixed-effects models for improving risk assessment and capital estimation in life insurance.