A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks

DOI10.1080/10920277.2011.10597619MaRDI QIDQ3107264zbMATH OpenOpenAlexFDO

Authors Kevin Dowd, David Blake, Andrew J. G. Cairns

Publication date 21 December 2011

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2011.10597619

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Adaptive algorithmic annuities
• An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
• Comonotonic approximations to quantiles of life annuity conditional expected present value
• Approximations for life annuity contracts in a stochastic financial environment
• Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching

Cites work

• A theory of the term structure of interest rates
• Interest rate models: an introduction
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk

Cited in

(15)

• Longevity hedge effectiveness: a decomposition
• Pricing pension buy-outs under stochastic interest and mortality rates
• The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
• Longevity Risk and Capital Markets: The 2017–2018 Update
• A new approximation of annuity prices for age-period-cohort models
• Hedging annuity risks with the age-period-cohort two-population gravity model
• Longevity risk and capital markets: the 2019--20 update
• Longevity Risk and Capital Markets: The 2012–2013 Update
• Green nested simulation via likelihood ratio: applications to longevity risk management
• Editorial: Longevity risk and capital markets: the 2013--14 update
• A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
• Annuity uncertainty with stochastic mortality and interest rates
• Longevity risk and capital markets: the 2015--16 update
• Annuity contract valuation under dependent risks
• Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts

This page was built for publication: A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3107264)