Mortality regimes and longevity risk in a life annuity portfolio

DOI10.1080/03461238.2014.882860MaRDI QIDQ4576922zbMATH OpenOpenAlexFDO

Authors Killian Lemoine

Publication date 11 July 2018

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

Full work available at URL https://doi.org/10.1080/03461238.2014.882860

zbMATH Keywords

longevity riskmortality projectionregime-switching models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Mortality regimes and pricing
• Correlated age-specific mortality model: an application to annuity portfolio management
• Longevity risk: an empirical analysis for life annuity
• Multidimensional Lee-Carter model with switching mortality processes
• Mortality risk modeling: applications to insurance securitization

Cites work

• A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A Regime-Switching Model of Long-Term Stock Returns
• A Test for Normality of Observations and Regression Residuals
• Analysis of time series subject to changes in regime
• Closing and projecting life tables using log-linear models
• Dynamic linear models with Markov-switching
• Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
• Markov-switching model selection using Kullback-Leibler divergence
• Modeling and forecasting U.S. mortality. (With discussion)
• Mortality regimes and pricing
• Pricing annuity guarantees under a regime-switching model

Cited in

(12)

• Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?
• Modeling trend processes in parametric mortality models
• It takes two: why mortality trend modeling is more than modeling one mortality trend
• Macro longevity risk and the choice between annuity products: evidence from Denmark
• Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
• Longevity risk: an empirical analysis for life annuity
• Mortality regimes and pricing
• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• scientific article; zbMATH DE number 2058125 (Why is no real title available?)
• Forward mortality rates in discrete time. I: Calibration and securities pricing
• The timing of annuitization: Investment dominance and mortality risk
• The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?

This page was built for publication: Mortality regimes and longevity risk in a life annuity portfolio

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4576922)