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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Chapter 1 Stochastic Epidemic Models
, 2019 This first chapter introduces some basic facts about stochastic epidemic models.We consider the case of a closed community, i.e. without influx of new susceptibles or mortality.
Pardoux, Etienne +3 more
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Delta and Gamma hedging of mortality and interest rate risk [PDF]
This paper studies the hedging problem of life insurance policies, when the mortality and interest rates are stochastic. We focus primar- ily on stochastic mortality. We represent death arrival as the rst jump time of a doubly stochastic process, i.e.
Elisa Luciano, Luca Regis, Elena Vigna
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Stochastic population forecasts using functional data models for mortality, fertility and migration [PDF]
Age-sex-specific population forecasts are derived through stochastic population renewal using forecasts of mortality, fertility and net migration. Functional data models with time series coefficients are used to model age-specific mortality and fertility
Heather Booth, Rob J Hyndman
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Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs
Risks, 2016 Variable annuities represent certain unit-linked life insurance products offering different types of protection commonly referred to as guaranteed minimum benefits (GMXBs).
Marcos Escobar +4 more
doaj +1 more source
A Novel Modification of the Cairns–Blake–Dowd Model: Consideration for Retirement Cohort Trends
Journal of Probability and StatisticsThe study introduces an incremental extension of the Cairns–Blake–Dowd (CBD) 2006 stochastic mortality model by adding a retirement cohort effect to enhance the applicability and prediction ability for actuarial purposes.
Abigail Yeboah Boateng +2 more
doaj +1 more source
Stochastic mortality, subjective survival expectations, and individual saving behavior [PDF]
, 2010 Theoretical studies suggest that unexpected changes in future mortality and survival probabilities (stochastic mortality) are important determinants of individuals' decisions about consumption, saving, asset allocation, and retirement timing.
Post, Thomas, Hanewald, Katja
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Stochastic Infinite Horizon Forecasts for Social Security and Related Studies [PDF]
This paper consists of three reports on stochastic forecasting for Social Security, on infinite horizons, immigration, and structural time series models. 1) In our preferred stochastic immigration forecast, total net immigration drops from current levels
Timothy Miller +2 more
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Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk [PDF]
Using the widely-cited Lee-Carter mortality model, we quantify aggregate mortality risk as the risk that the average annuitant lives longer than is predicted by the model, and we conclude that annuity business exposes insurance companies to substantial ...
Leora Friedberg, Anthony Webb
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Aging: damage accumulation versus increasing mortality rate [PDF]
If aging is understood as some process of damage accumulation, it does not necessarily lead to increasing mortality rates. Within the framework of a suggested generalization of the Strehler-Mildwan (1960) model, we show that even for models with ...
Maxim S. Finkelstein
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