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

DOI10.1007/S10182-011-0177-YzbMATH Open1443.62367OpenAlexW2060899497MaRDI QIDQ1633242FDOQ1633242

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

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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)

Cites Work

• Modeling and forecasting U.S. mortality. (With discussion)
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• Bayes and empirical Bayes methods for data analysis.
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
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• Stochastic Mortality: The Impact on Target Capital
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• Uncertainty in mortality projections: an actuarial perspective
• Heterogeneity in survival models. Applications to pensions and life annuities

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?
• Uncertainty in mortality projections: an actuarial perspective
• Bayesian graduation of mortality rates: an application to reserve evaluation
• Multistate models in health insurance

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