YRD : Young Researchers Day | February 17, 2023

09:00 – 09:10: Opening

09:10 – 09:40: Fanny Hoogstoel

“Right to be forgotten”: how to estimate excess risk mortality when no disease-specific registry data are available

Facilitating access to insurance products for people with a perceived aggravated risk has recently become a hot topic, with in particular the adoption of the "right to be forgotten" in France (in 2016) and Belgium (in 2019). New studies based in part on relative survival analysis are currently being carried out to extend the right to be forgotten in Belgium (Soetwey et al. 2020) in order to reach the same level as in France, to include other pathologies and to also include other insurance products.

A fundamental element is therefore access to follow-up data, both for the “general population” and for cohorts suffering from the pathology studied. However, such data are often non-existent, incomplete or unreliable.

Concerning the survival of people suffering from a given pathology for which there is no appropriate registry data available, a possible approach could be to use data from cohorts or registers from other countries and to "adjust" them to the specificities of the country of interest, in the footsteps of the work carried out by Touraine et al. 2020 in particular. In this work, we propose first a simulation algorithm that allows to compare existing methods and second a new proposal to adjust such data via the use of generalized additive models (GAMs). This will be illustrated with an application to an insurance context in the framework of the right to be forgotten.

09:40 – 10:30: Oskar Laverny

Version control for academics

Version controls systems (VCS) are systems that keep track of changes made to a collection of files and folders. The usage of such systems allows for reproducibility of the work done and largely facilitates collaborations. We start by arguing that using such a version control system is a must for any serious work that boils down to text files, which is the case of much of academic workflows. Then we introduce the de-facto standard VCS nowadays, git, through a bottom-up exposition of its internal data model. We end by a review of potential applications to academic workflows, from reproducibility of numerical results to templating of articles and facilitating review processes, showing the usefulness of the concept.

10:30 – 11:00: Coffee break

11:00 – 11:30: Keivan Diakité

Longevity heterogeneity correction and demographic risk sharing in public pension systems

Many pension systems require and continue to need change to maintain long-term sustainability. Most developed countries' policymakers have been pushed to reform their pension systems in order to preserve or re-establish financial sustainability. As longevity heterogeneity is frequently disregarded in the policy chosen, the pursuit of financial sustainability is done at the expense of intra-generational actuarial fairness.

We propose a pension system management system comprising two adaptation mechanisms.

The first dynamic mechanism is integrated directly into the pension formula and corrects the heterogeneity of longevity when it exists between the agents of the pension scheme.

A steering mechanism for both the contribution rate and the mean benefit ratio respects Musgrave's rule, which makes it possible to distribute the demographic risk between working people and retirees.

In order to capture both effects and incorporate a mortality component into the pension formula, we model longevity heterogeneity and ageing in a pension scheme using different multi-population mortality models.

11:30 – 12:00: Jeongjin Lee

Partial Tail Correlations for Extremes

We develop a method for investigating conditional relationships between variables at their extreme levels. We consider a vector space constructed from transformed-linear combinations of independent regularly varying random variables. The notion of partial tail correlation is developed through projection theorem.

We show that the partial tail correlation can be understood as the inner product of prediction errors associated with the best transformed-linear prediction. Using a subset of the inner product space as a modeling framework, we connect partial tail correlation to the inverse of the inner product matrix and show that a zero in this inverse implies a partial tail correlation of zero. We develop a hypothesis test for partial tail correlation of zero and demonstrate the performance in two applications: high nitrogen dioxide levels in Washington DC and extreme river discharges in the upper Danube basin.

12 :00 – 12:30: Patricia Ortega Jimenez

Efron’s monotonicity under given copula structures

Given a multivariate random vector, Efron’s marginal monotonicity (EMM) refers to the stochastic monotonicity of the variables given the value of their sum. The study of EMM considering vectors of dependent variables has many applications. For example, in the context of risk sharing, EMM refers to the study of the comonotonicity (or no-sabotage condition) of a risk sharing rule (see Denuit and Robert (2022)).

Recently, based on the notion of total positivity of the joint density of the vector, Pellerey and Navarro (2022) obtained sufficient conditions for EMM when the monotonicity is in terms of the likelihood ratio order. In this work, new sufficient conditions are provided, based on the properties of the marginals and the copula. Moreover, parametric examples are considered for some of the results included in Pellerey and Navarro (2022).

12 :30 – 12 :45: Closing