A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks

DOI10.1080/10920277.2011.10597619zbMath1228.91031OpenAlexW2139452325MaRDI QIDQ3107264

Kevin Dowd, David Blake, Andrew J. G. Cairns

Publication date: 21 December 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2011.10597619

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (13)

Green nested simulation via likelihood ratio: applications to longevity risk management ⋮ Pricing pension buy-outs under stochastic interest and mortality rates ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices ⋮ Longevity risk and the Grim Reaper's toxic tail: The survivor fan charts ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Annuity Uncertainty with Stochastic Mortality and Interest Rates ⋮ Longevity Risk and Capital Markets: The 2012–2013 Update ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Annuity contract valuation under dependent risks ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Hedging Annuity Risks with the Age-Period-Cohort Two-Population Gravity Model ⋮ Longevity hedge effectiveness: a decomposition

Cites Work

• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• A Theory of the Term Structure of Interest Rates
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Unnamed Item

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