In this paper, we develop accurate approximations for medians of life expectancy and life annuity pure premiums viewed as functions of future mortality trends as predicted by parametric models of the improvement rates in mortality. Numerical illustrations show that the comonotonic approximations perform well in this case, which suggests that they can be used in practice to evaluate the consequences of the uncertainty in future death rates. Prediction intervals based on 5% and 95% quantiles are also considered but appear to be wider compared to simulated ones. This provides the practitioner with a conservative shortcut, thereby avoiding the problem of simulations within simulations in, for instance, Solvency 2 calculations
Mortality improvements pose a challenge for the life annuity business. For the management of such po...
The life expectancy is a statistic that depends on forecasted human mortality rates. The last two ce...
Prediction of the future mortality of life annuity portfolios is one of the ma-jor concerns faced by...
In this paper, we develop accurate approximations for medians of life expectancy and life annuity pu...
In this paper, we develop accurate approximations for medians of life expectancy and life annuity pu...
Actuarial calculations for life annuity portfolios need to account for the stochastic nature of decr...
In large portfolios, the risk borne by annuity providers (insurance companies or pension funds) is b...
This paper aims to provide accurate approximations for the quantiles of the conditional expected pre...
This paper aims to provide accurate approximations for the quantiles of the conditional expected pre...
This paper aims to provide accurate approximations for the quantiles of the conditional expected pre...
Often in actuarial practice, mortality projections are obtained by letting age-specific death rates ...
Often in actuarial practice, mortality projections are obtained by letting age-specific death rates ...
Often in actuarial practice, mortality projections are obtained by letting age-specific death rates ...
Mortality improvements, uncertainty in future mortality trends and the relevant impact on life annui...
Recent mortality trends lead to the use of projected mortality tables when pricing and reserving for...
Mortality improvements pose a challenge for the life annuity business. For the management of such po...
The life expectancy is a statistic that depends on forecasted human mortality rates. The last two ce...
Prediction of the future mortality of life annuity portfolios is one of the ma-jor concerns faced by...
In this paper, we develop accurate approximations for medians of life expectancy and life annuity pu...
In this paper, we develop accurate approximations for medians of life expectancy and life annuity pu...
Actuarial calculations for life annuity portfolios need to account for the stochastic nature of decr...
In large portfolios, the risk borne by annuity providers (insurance companies or pension funds) is b...
This paper aims to provide accurate approximations for the quantiles of the conditional expected pre...
This paper aims to provide accurate approximations for the quantiles of the conditional expected pre...
This paper aims to provide accurate approximations for the quantiles of the conditional expected pre...
Often in actuarial practice, mortality projections are obtained by letting age-specific death rates ...
Often in actuarial practice, mortality projections are obtained by letting age-specific death rates ...
Often in actuarial practice, mortality projections are obtained by letting age-specific death rates ...
Mortality improvements, uncertainty in future mortality trends and the relevant impact on life annui...
Recent mortality trends lead to the use of projected mortality tables when pricing and reserving for...
Mortality improvements pose a challenge for the life annuity business. For the management of such po...
The life expectancy is a statistic that depends on forecasted human mortality rates. The last two ce...
Prediction of the future mortality of life annuity portfolios is one of the ma-jor concerns faced by...