Decomposing changes in life annuities

DOI10.1007/S13385-025-00409-8MaRDI QIDQ6912321zbMATH OpenFDO

Authors Cinzia Di Palo

Publication date 22 October 2025

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S13385-025-00409-8

zbMATH Keywords

changes in mortalitydecomposition methodentropylife annuities

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites work

• Actuarial applications of the linear hazard transform in mortality immunization
• Actuarial mathematics for life contingent risks
• Applied mathematical demography
• Commutation functions under Gompertz-Makeham mortality
• Entropy, longevity and the cost of annuities
• scientific article; zbMATH DE number 2054513 (Why is no real title available?)
• Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
• Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans
• Longevity risk in portfolios of pension annuities
• Modeling and management of mortality risk: a review
• Mortality derivatives and the option to annuitise.
• On closed-form expressions to Gompertz-Makeham life expectancy
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Tackling longevity risk by means of financial compensation
• The impact of longevity and investment risk on a portfolio of life insurance liabilities
• The role of a longevity insurance for defined contribution pension systems
• Understanding, modelling and managing longevity risk: key issues and main challenges

Cited in

(2)

• Longevity risk and capital markets: the 2023--2024 update
• Unraveling the time dynamics of life annuities

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