Annuity Uncertainty with Stochastic Mortality and Interest Rates

DOI10.1080/10920277.2013.795481zbMath1412.91049OpenAlexW2033302575MaRDI QIDQ5742640

Xiaoming Liu

Publication date: 15 May 2019

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

Full work available at URL: https://doi.org/10.1080/10920277.2013.795481

zbMATH Keywords

interest ratesmortality risksystematic riskannuity rate

Mathematics Subject Classification ID

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

Related Items (3)

Stochastic approximations in CBD mortality projection models ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods

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