Life tables in actuarial models: from the deterministic setting to a Bayesian approach

DOI10.1007/S10182-011-0177-YMaRDI QIDQ1633242zbMATH OpenOpenAlexFDO

Authors Annamaria Olivieri, Ermanno Pitacco

Publication date 19 December 2018

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-011-0177-y

zbMATH Keywords

Bayesian inferencelongevity riskstochastic mortalitylife annuitiesrandom fluctuationsdeterministic mortalityprocess risksystematic deviationsuncertainty risk

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
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• Heterogeneity in survival models. Applications to pensions and life annuities
• Modeling and forecasting U.S. mortality. (With discussion)
• Mortality Change and Forecasting
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Stochastic Mortality: The Impact on Target Capital
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Uncertainty in mortality forecasting an extension to the classical Lee-Carter approach
• Uncertainty in mortality projections: an actuarial perspective
• Valuation and hedging of life insurance liabilities with systematic mortality risk

Cited in

(10)

• A Bayesian joint model for population and portfolio-specific mortality
• Worst-case actuarial calculations consistent with single- and multiple-decrement life tables
• Comparison and bounds for functionals of future lifetimes consistent with life tables
• A Bayesian non-parametric model for small population mortality
• A geostatistical approach for dynamic life tables: the effect of mortality on remaining lifetime and annuities
• Measuring the effect of mortality improvements on the cost of annuities
• Periodic or generational actuarial tables: which one to choose?
• Bayesian graduation of mortality rates: an application to reserve evaluation
• Uncertainty in mortality projections: an actuarial perspective
• Multistate models in health insurance

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