Socioeconomic differentials in mortality: implications on index-based longevity hedges

DOI10.1080/03461238.2022.2104131MaRDI QIDQ6156008zbMATH OpenOpenAlexFDO

Authors Pintao Lyu, Johnny Siu-Hang Li, Kenneth Q. Zhou

Publication date 9 June 2023

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

Full work available at URL https://doi.org/10.1080/03461238.2022.2104131

zbMATH Keywords

delta hedgingLi-Lee modelS-forwardsocioeconomic differentials in mortality improvementthree-way Lee-Carter model

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Actuarial mathematics (91G05)

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Cites work

• A comparative study of two-population models for the assessment of basis risk in longevity hedges
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Extending the Lee-Carter model: a three-way decomposition
• Measuring Basis Risk in Longevity Hedges
• Modeling and forecasting U.S. mortality. (With discussion)
• Modelling mortality for pension schemes
• Modelling socio-economic differences in mortality using a new affluence index
• Multi-population mortality models: fitting, forecasting and comparisons
• On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England

Cited in

(14)

• Recent declines in life expectancy: implication on longevity risk hedging
• Socio-economic differentiation in experienced mortality modelling and its pricing implications
• Characterization of between-group inequality of longevity in European union countries
• The contribution of improved joint survival conditions to living standards: an equivalent consumption approach
• Mortality by socio-economic class and its impact on the retirement schemes: how to render the systems fairer?
• Discussion on: ``Mortality by socio-economic class and its impact on the retirement schemes: how to render the systems fairer?
• Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances
• Modelling socio-economic differences in mortality using a new affluence index
• Rising Inequality in Life Expectancy by Socioeconomic Status
• On the modeling and forecasting of socioeconomic mortality differentials: an application to deprivation and mortality in England
• Modelling socio-economic mortality at neighbourhood level
• Welfare-enhancing annuity divisor for notional defined contribution design
• The Impact of Longevity Annuity Provision on Retirement Income Planning for Canadians—A Modified General Endogenous Grid Method
• Mortality, human capital and persistent inequality

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