Actuarial Science Group

Purpose

This project is a partnership by some collaborators of the Departamento de Métodos Estatísticos (DME/UFRJ) and the Laboratório de Matemática Aplicada (LabMA/UFRJ).

Our goals are to provide consultancy for insurance companies and develop research in Actuarial Science.

In particular, our project focus on three main areas of interest:

Mortality tables modelling,
Improvement, and
Lapse risk rates.

This proposal's essential characteristic is collaborating closely with researchers from different backgrounds, such as actuaries, mathematics, demographers, and others.

Our members

Researchers

Thaís C O da Fonseca
Viviana G R Lobo
Mariane B Alves

Graduate research assistant

Luiz Fernando Villar de Figueiredo (2021 - current)

Victor Hugo Soares Ney (2023- 2024)
Lucas Moura Faria e Silva (2021-2023)

Prizes

BayesMortality: A package in R for Bayesian graduation of mortality rates. Lobo, V.G.R., Fonseca, T.C.O., Alves, M.B, Moura, L; Figueiredo, L.F.V. with Laboratório de Matemática Aplicada (LabMA), second place Prêmio SUSEP de Pesquisa em Seguros, https://www.premiosusep.susep.gov.br/

Papers and Packages

BayesMortalityPlus: A package in R for Bayesian mortality modelling. (202x). Moura, L; Figueiredo, L.F.V., Lobo, V.G.R., Fonseca, T. C.O. and Alves, M.B. Journal of Statistical Software. to appear | R | GitHub.
lnmixsurv: Bayesian Mixture Log-Normal survival model, w/ Thais C O Fonseca, Mariane B Alves, Vitor Capdeville and Victor H S Ney | R CRAN | GitHub
BayesMortalityPlus: Bayesian Mortality Modeling ; R CRAN.
Lapse risk modeling in insurance: a Bayesian mixture approach (2024). Lobo, V.G.R., Fonseca, T.C.O. and Alves, M.B. Annals of Actuarial Science. Volume 18, Issue 1, March 2024, pp. 126-151| GitHub

Events/Talks

2nd - 6th December. COBAL-EBEB: VII Latin American Meeting on Bayesian Statistics and XVII Brazilian Meeting of Bayesian Statistics. Belo Horizonte, Minas Gerais, Brazil. (invited talk in session Bayesian modeling in Actuarial Science presented by Viviana Lobo). "Bayesian Multivariate Approach to Subnational mortality graduation with Age-Varying Smoothness"
16th- 17th September. Nineteenth International Longevity Risk and Capital Markets Solutions Conference (Longevity 19), Amsterdam, Netherlands (contributed talk presented by Viviana Lobo) "A Bayesian pooling model for mortality graduation with Age-Varying Smoothness."
4th of September of 2024. UFRJ. Ciclo de Palestras do Programa de Pós Graduação em Estatística (PPGE, IM-UFRJ) "Lapse risk modeling in insurance: a Bayesian mixture approach." (invited talk presented by Viviana Lobo)
8th of August of 2024. Simpósio Nacional de Probabilidade e Estatística (SINAPE 2024). 4th- 9th August. Fortaleza, Ceará, Brazil. (invited talk presented by Viviana Lobo). "Lapse risk modeling in insurance: a Bayesian mixture approach."
26th of April of 2023. Participation in Master's Seminar in Statistics (UFRJ). BayesMortalityPlus: A package in R for Bayesian mortality modelling (invited talk presented by Lucas Moura Faria e Silva)
24th of January of 2023. "Prêmio SUSEP de Pesquisa em Seguros'. Organized by SUSEP and Fundação Getúlio Vargas. (invited talk presented by Viviana G R Lobo), "BayesMortality: A package in R for Bayesian Graduation of Mortality Rates".
February of 2022. Participation in SIAC UFRJ 2022. Modelo Heligman-Pollard (HP) para modelagem da mortalidade tábuas populacionais sob uma abordagem Bayesiana

honorable mention

(presented by Luiz Fernando Villar de Figueiredo (com Lucas Moura Faria e Silva)

1st of September of 2022. Participation in X Fórum Nacional de Seguro de Vida E Previdência Privada. Covid-19: Impacto da vacinação e previsão de novas ondas (invited talk presented by Thais C O Fonseca with Laboratório de Matemática Aplicada, LabMA).
6th of September of 2022. Participation in Papos Aleatórios seminar (Universidade Federal Fluminense). Lapse risk modelling in insurance: a Bayesian mixture approach. (invited talk presented by Viviana G R Lobo)

Staff Liaison

e-mail: viviana AT dme.ufrj.br

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