Related papers: A State-Space Estimation of the Lee-Carter Mortali…
We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation of expected values of nonlinear functionals of…
The Lee Carter modelling framework is widely used because of its simplicity and robustness despite its inability to model specific cohort effects. A large number of extensions have been proposed that model cohort effects but there is no…
Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors in factor models are defined as time-related mortality indices (such as $\kappa_t$ in the…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
The state-of-the-art proposes Life Care Annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and Guaranteed Lifelong Withdrawal Benefits. In this paper, we propose more general features for…
Recently we developed a new framework in Hirz et al (2015) to model stochastic mortality using extended CreditRisk$^+$ methodology which is very different from traditional time series methods used for mortality modelling previously. In this…
Existing mortality forecasting methods focus on age-specific mortality rates, which lie in an unconstrained space and overlook the distributional nature of life-table death counts. Few studies have developed and compared forecasting methods…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…
Life expectancy have been increasing over the past years due to better health care, feeding and conducive environment. To manage future uncertainty related to life expectancy, various insurance institutions have resolved to come up with…
This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions. We focus on the impact of aging on the…
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide…
The last two centuries have seen a significant increase in life expectancy. Although past trends suggest that mortality will continue to decline in the future, uncertainty and instability about the development is greatly increased due to…
This paper extends the valuation and optimal surrender framework for variable annuities with guaranteed minimum benefits in a L\'evy equity market environment by incorporating a stochastic interest rate described by the Hull-White model.…
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality.…
In this paper we explore the life expectancy limits by based on the stochastic modeling of mortality and applying the first exit or hitting time theory of a stochastic process. The main assumption is that the health state or the "vitality",…
Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate…
Forecasts of mortality provide vital information about future populations, with implications for pension and health-care policy as well as for decisions made by private companies about life insurance and annuity pricing. Stochastic…
Mortality forecasting plays a pivotal role in insurance and financial risk management of life insurers, pension funds, and social securities. Mortality data is usually high-dimensional in nature and favors factor model approaches to…
In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk is due to the uncertain development of…
Italy reports some of the lowest levels of mortality in the developed world. Recent evidence, however, suggests that even in low mortality countries improvements may be slowing and regional inequalities widening. This study contributes new…