Bibliographic record
Abstract
Catastrophic mortality bonds are designed to hedge against the mortality risks. The payoff at maturity depends on the realized mortality index over the life of the bond, therefore modeling the mortality index is the main concern in our study. Since mortality shocks are detected using outlier analysis, non-Gaussian state space models with a fat-tailed error term are proposed to fit the mortality index and to handle shocks. By comparing several state space models with different fat-tailed distributions, an ARIMA process for the baseline mortality and the t-distribution for capturing mortality shocks are chosen. We obtain the price of the mortality bond using the proposed model and estimate the market price of risk. It appears that the market price of risk is lower than the ones obtained in the literature, which is consistent with the industrial empirical results from Wang (2004). This implies that our model is capable of handling mortality risks.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.000 |
| Meta-epidemiology (narrow) | 0.001 | 0.001 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.002 | 0.003 |
| Science and technology studies | 0.003 | 0.001 |
| Scholarly communication | 0.001 | 0.002 |
| Open science | 0.002 | 0.000 |
| Research integrity | 0.001 | 0.002 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".