Mathematical Models for the Longevity Risk in the Annuity Market [PDF]
The markets for longevity derivatives are starting to develop. In last years, many companies have closed the defined benefit retirement plans that they used to offer to their employees. In addition, some governments increased the retirement age by 2 or 5
Iulian MIRCEA
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Proyección estocástica de la mortalidad. Una aplicaciónde Lee-Carter en la Argentina
Revista Latinoamericana de Población, 2013 El principal objetivo del presente artículo es poner a disposición proyecciones estocásticas de mortalidad para la República Argentina, así como presentar el modelo e interpretarlo.
Matías Belliard, Iván Williams
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Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality [PDF]
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extending it in several dimensions.
Samad Sarferaz, Wolfgang Reichmuth
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On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling [PDF]
, 2007 This paper provides a comparative study of simulation strategies for assessing risk in mortality rate predictions and associated estimates of life expectancy and annuity values in both period and cohort ...
Haberman, S., Renshaw, A. E.
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Time Series Properties and Stochastic Forecasts: Some Econometrics of Mortality from the Canadian Laboratory [PDF]
Methods for time series modeling of mortality and stochastic forecasting of life expectancies are explored, using Canadian data. Consideration is given first to alternative indexes of aggregate mortality.
Byron G. Spencer +2 more
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Adding Shocks to a Prospective Mortality Model
RisksThis work proposes a simple model to take into account the annual volatility of the mortality level observed on the scale of a country like France in the construction of prospective mortality tables.
Frédéric Planchet +1 more
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The role of longevity risk in Hungary [PDF]
, 2016 In this paper, I analyze the role of longevity risk in Hungary in the public pension system and the life annuity segment of the life insurance market, which are two primary financial sectors of relevance to this special type of actuarial risk, using ...
Vékás, Péter
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Demographic Research, 2011 Using the age- and sex-specific data of 14 developed countries, we compare the point and interval forecast accuracy and bias of ten principal component methods for forecasting mortality rates and life expectancy.
Han Lin Shang +2 more
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Individual Welfare Gains from Deferred Life-Annuities under Stochastic Lee-Carter Mortality [PDF]
A deferred annuity typically includes an option-like right for the policyholder. At the end of the deferment period, he may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or receive the ...
Thomas Post
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Hierarchical Lee-Carter model estimation through data cloning applied to demographically linked countries [PDF]
, 2015 Some groups of countries are connected not only economically, but also social and even demographically. This last fact can be exploited when trying to forecast the death rates of their populations. In this paper we propose a hierarchical specification of
Albarrán Lozano, Irene +3 more
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