Forward mortality and other vital rates - are they the way forward?

DOI10.1016/J.INSMATHECO.2010.07.002zbMath1231.91459OpenAlexW2035077844MaRDI QIDQ661220

Ragnar Norberg

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.07.002

zbMATH Keywords

credit riskstochastic intereststochastic mortalitymulti-state life insurance modelsrates vs. intensities

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Interest rates, asset pricing, etc. (stochastic models) (91G30) Reliability and life testing (62N05)

Related Items (15)

Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting ⋮ Retirement spending and biological age ⋮ Kolmogorov’s forward PIDE and forward transition rates in life insurance ⋮ Extension of as-if-Markov modeling to scaled payments ⋮ Optimal retirement consumption with a stochastic force of mortality ⋮ A comonotonicity-based valuation method for guaranteed annuity options ⋮ Stochastic mortality models: an infinite-dimensional approach ⋮ Forward transition rates ⋮ Ragnar Norberg (1945–2017): an actuary of a unique kind ⋮ Risk aggregation and stochastic claims reserving in disability insurance ⋮ Dependent interest and transition rates in life insurance ⋮ On the calculation of prospective and retrospective reserves in non-Markov models ⋮ Forward Mortality Rates in Discrete Time I: Calibration and Securities Pricing ⋮ Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies ⋮ On the forward rate concept in multi-state life insurance

Cites Work

• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Mortality derivatives and the option to annuitise.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Arbitrage Theory in Continuous Time
• Statistical models based on counting processes

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