It takes two: why mortality trend modeling is more than modeling one mortality trend

DOI10.1016/j.insmatheco.2021.03.021zbMath1467.91133OpenAlexW3158357525MaRDI QIDQ2038241

Matthias Börger, Jochen Ruß, Johannes Schupp

Publication date: 6 July 2021

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.03.021

zbMATH Keywords

longevity riskstochastic mortalitytrend uncertaintybest estimate mortality trendmortality trend processes

Mathematics Subject Classification ID

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

Related Items (4)

Longevity risk and capital markets: the 2015--16 update ⋮ PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging

Uses Software

• Human Mortality

Cites Work

• Modeling and Forecasting U.S. Mortality
• Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
• On the pricing of longevity-linked securities
• Modeling trend processes in parametric mortality models
• Multidimensional Lee-Carter model with switching mortality processes
• Longevity hedge effectiveness: a decomposition
• Mortality Regimes and Pricing
• Model Selection and Multimodel Inference
• The impact of multiple structural changes on mortality predictions
• Mortality regimes and longevity risk in a life annuity portfolio
• Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers
• Incorporating structural changes in mortality improvements for mortality forecasting

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