The Center for Mathematical Economics organizes regularly seminars on Mathematical Finance / Financial Economics within the Bielefeld Stochastic Afternoon. This term's program is below.
First Speaker: Giovanna Apicella (University of Udine)
Title: Longevity risk modeling: bridging actuarial and behavioral perspectives
Abstract:
The paper investigates why individuals' subjective survival expectations systematically differ from objective actuarial survival probabilities. In particular, consistent empirical evidence shows that individuals aged approximately 50–70 years tend to underestimate their survival prospects, while older individuals tend to overestimate them.
To explain this pattern, we develop a theoretical model in which survival beliefs’ updating is affected by psychological sentiment rather than solely by objective health information. Individuals alternate between optimistic and pessimistic states, which affect how they interpret and react to observed health shocks and update their survival beliefs. The model shows that persistent optimism, or a greater tendency to shift from pessimism to optimism, can generate the observed age-dependent pattern of subjective survival beliefs.
Using longitudinal data from the Survey of Health, Ageing and Retirement in Europe (SHARE), we empirically analyse the predictions of the model and find a consistent sentiment-driven update of probabilities.
The findings highlight the relevance of behavioral biases in longevity risk assessment, with implications for retirement planning, savings decisions, and insurance demand.
Second Speaker: Salvatore Federico (University of Bologna)
Title: tba
Abstract: tba
First Speaker: Marco Fritelli (Università degli Studi di Milano)
Title: tba
Abstract:
Second Speaker: Marco Maggis (Università degli Studi di Milano)
Title: tba
Abstract:
First Speaker: Paolo Guasoni (Dublin City University)
Title: tba
Abstract:
Second Speaker: Alpar Meszaros (Durham University)
Title: tba
Abstract: