Related papers: The implied longevity curve: How long does the mar…
There is sustained and widespread interest in understanding the limit, if any, to the human lifespan. Apart from its intrinsic and biological interest, changes in survival in old age have implications for the sustainability of social…
Gompertz's law tells us that for humans above the age of 35 the death rate increases exponentially with a doubling time of about 10 years. Here, we show that the same law continues to hold even for ages over 100. Beyond 106 there is so far…
Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a…
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified…
Recent discoveries show steady improvements in life expectancy during modern decades. Does this support that humans continue to live longer in future? We recently put forward the maximum survival tendency, as found in survival curves of…
Trends in human longevity are puzzling, especially when considering the limits of human longevity. Partially, the conflicting assertions are based upon demographic evidence and the interpretation of survival and mortality curves using the…
In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of…
The analysis of the demographic transition of the past century and a half, using both empirical data and mathematical models, has rendered a wealth of well-established facts, including the dramatic increases in life expectancy. Despite…
Many insurance products and pension plans provide benefits which are related to couples, and thus under influence of the survival status of two lives. Some studies show the future lifetime of couples is correlated. Three reasons are…
Human longevity leaders with remarkably long lifespan play a crucial role in the advancement of longevity research. In this paper, we propose a stochastic model to describe the evolution of the age of the oldest person in the world by a…
Does the human lifespan have an impenetrable biological upper limit which ultimately will stop further increase in life lengths? This question is important for understanding aging, and for society, and has led to intense controversies.…
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",…
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…
Are there limits to human longevity? We suggest a new demographic model to describe human demographic trajectories. Specifically, the model mathematically defines the limits of longevity. Through the demographic analysis of trends for…
We analyze the data of the Italian and U.S. futures on the stock markets and we test the validity of the Continuous Time Random Walk assumption for the survival probability of the returns time series via a renewal aging experiment. We also…
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…
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…
We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our…
Who {\em values} life annuities more? Is it the healthy retiree who expects to live long and might become a centenarian, or is the unhealthy retiree with a short life expectancy more likely to appreciate the pooling of longevity risk? What…
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance, while retaining the relationship among…