Results 11 to 20 of about 5,661,149 (260)
Risks, 2023 Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models—in terms, that is,
Miguel Santolino
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Time Restrictions on Life Annuity Benefits: Portfolio Risk Profiles
Risks, 2022 Due to the increasing interest in several markets in life annuity products with a guaranteed periodic benefit, the back-side effects of some features that may prove to be critical either for the provider or the customer should be better understood.
Annamaria Olivieri, Ermanno Pitacco
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Computation, 2022 Recent studies have attempted to measure differences in lifestyle quality across the world. This paper contributes to this strand of literature by extending the indicator introduced in Milevsky (2020), i.e., “longevity-risk-adjusted global age” (LRaG age)
Gloria Polinesi +3 more
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Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM
Risks, 2019 Standardized longevity risk transfers often involve modeling mortality rates of multiple populations. Some researchers have found that mortality indexes of selected countries are cointegrated, meaning that a linear relationship exists between the indexes.
Rui Zhou, Guangyu Xing, Min Ji
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Longevity Risk Measurement of Life Annuity Products
Risks, 2020 This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized by the uncertain level of the future liability compared to the initially foretasted or expected value.
Pauline Milaure Ngugnie Diffouo +1 more
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Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk [PDF]
, 2013 This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account both mortality and interest-rate risk, on both assets and liabilities.
Regis, Luca, Luciano, Elisa
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Journal of Economic and Financial Sciences, 2023 Orientation: As a standard practice, retirement capital is converted into either an immediate life annuity (annuitisation), affording significant protection against longevity risk or a living annuity (self-annuitisation), exposing capital to volatile ...
Jeannie de Villiers-Strijdom, Niel Krige
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The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts
Risks, 2016 This paper uses mortality fan charts to illustrate prospective future male mortality. These fan charts show both the most likely path of male mortality and the bands of uncertainty surrounding that path.
Kevin Dowd +2 more
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ARMA Models for Mortality Forecast
Lithuanian Journal of Statistics, 2016 In the last several decades, many countries have been paying a lot of attention to mortality forecastingbecause of high longevity risk. The purpose of this paper is to analyze mortality characteristics of Baltic countries andmake predictions using ARMA ...
Natalja Šiškina, Jonas Šiaulys
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The Effect of Alzheimer’s Disease-Associated Genetic Variants on Longevity
Frontiers in Genetics, 2021 Human longevity is influenced by the genetic risk of age-related diseases. As Alzheimer’s disease (AD) represents a common condition at old age, an interplay between genetic factors affecting AD and longevity is expected.
Niccolò Tesi +19 more
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