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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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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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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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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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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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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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Mortality/Longevity Risk-Minimization with or without Securitization [PDF]
Mathematics, 2021 This paper addresses the risk-minimization problem, with and without mortality securitization, à la Föllmer–Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework includes situations in which the correlation between the market model and the time of death is arbitrary general, and ...
Tahir Choulli +2 more
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Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions [PDF]
Insurance: Mathematics and Economics, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bensusan, Harry +3 more
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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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