Measuring the effect of mortality improvements on the cost of annuities

DOI10.1016/J.INSMATHECO.2006.02.005MaRDI QIDQ849595zbMATH OpenOpenAlexFDO

Authors Marwa Khalaf-Allah, Steven Haberman, Richard Verrall

Publication date 31 October 2006

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2006.02.005

Mathematics Subject Classification ID

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

Recommendations

• Uncertainty in mortality projections: an actuarial perspective
• Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality
• scientific article; zbMATH DE number 5522381
• Life tables in actuarial models: from the deterministic setting to a Bayesian approach
• From regulatory life tables to stochastic mortality projections: the exponential decline model

Cites work

• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• Actuarial Modeling with MCMC and BUGs
• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
• Modeling and forecasting U.S. mortality. (With discussion)
• Projecting Mortality Trends
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Survival models in a dynamic context: a survey
• Uncertainty in mortality projections: an actuarial perspective
• Valuation of guaranteed annuity conversion options.

Cited in

(10)

• A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
• A sensitivity analysis of typical life insurance contracts with respect to the technical basis
• The timing of annuitization: Investment dominance and mortality risk
• Calculation of changes in life expectancy based on proportional hazards model of an intervention
• Longevity and adjustment in pension annuities, with application to Finland
• Sensitivity of life insurance reserves via Markov semigroups
• De-risking strategy: longevity spread buy-in
• Entropy, longevity and the cost of annuities
• Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
• Longevity-indexed life annuities

This page was built for publication: Measuring the effect of mortality improvements on the cost of annuities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q849595)