ESR1 Luis Souto

Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process, 27 July 2020

Using a Bi-variate Reinforced Urn Process (B-RUP), a novel way of modeling the dependence of coupled lifetimes is introduced, with application to the pricing of joint and survivor annuities. In line with the machine learning paradigm, the model is able to improve its performances over time, but it also allows for the use of a priori information, like for example experts’ judgement, to complement the empirical data. Using a well-known Canadian data set, the performances of the B-RUP are studied and compared with the existing literature.

Estimation for Univariate and Bivariate Reinforced Urn Processes under Left-Truncation and Right-Censoring, 21 October 2020

Reinforced Urn Processes (RUPs) represent a flexible class of Bayesian nonparametric models suitable for dealing with possibly right-censored and left-truncated observations. A reliable estimation of their hyper-parameters is however missing in the literature. We therefore propose an extension of the Expectation-Maximization (EM) algorithm for RUPs, both in the univariate and the bivariate case. Furthermore, a new methodology combining EM and the prior elicitation mechanism of RUPs is developed: the Expectation-Reinforcement algorithm. Numerical results showing the performance of both algorithms are presented for several analytical examples as well as for a large data set of Canadian annuities.

Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process, April 2021

We introduce a novel way of modeling the dependence of coupled lifetimes, for the pricing of joint and survivor annuities. Using a well-known Canadian data set, our results are analyzed and compared with the existing literature, mainly relying on copulas. Based on urn processes and a one-factor construction, the proposed model is able to improve its performances over time, in line with the machine learning paradigm, and it also allows for the use of experts’ judgements, to complement the empirical data.

About the Estimation of Reinforced Urn Processes under Left-Truncation and Right-Censoring, November 2021

Reinforced Urn Processes (RUPs) represent a flexible class of Bayesian nonparametric models suitable for dealing with possibly right-censored and left-truncated observations. A reliable estimation of their hyper-parameters is however missing in the literature. We therefore propose an extension of the Expectation-Maximization (EM) algorithm for RUPs, both in the univariate and the bivariate case. Furthermore, a new methodology combining EM and the prior elicitation mechanism of RUPs is developed: the Expectation-Reinforcement algorithm. Numerical results showing the performance of both algorithms are presented using artificial and actual data.