Assessment of longevity risk: credibility approach

DOI10.1080/02664763.2021.1922613OpenAlexW3159828853MaRDI QIDQ5861213

Bükre Yıldırım Külekci, A. Sevtap Selcuk-Kestel

Publication date: 4 March 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2021.1922613

zbMATH Keywords

pension fundlongevity riskannuityLee-Carter mortality modelBühlmann credibility

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Related Items (1)

Editorial to the special issue: Recent statistical methods for data analysis, applied economics, business & finance

Uses Software

• Human Mortality

Cites Work

• Modeling and Forecasting U.S. Mortality
• Fuzzy formulation of the Lee-Carter model for mortality forecasting
• Assessing the cost of capital for longevity risk
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A dynamic equivalence principle for systematic longevity risk management
• A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates
• A Credibility Approach to Mortality Risk
• Stochastic Mortality: The Impact on Target Capital
• Pension Plan Valuation and Mortality Projection
• A comparison of risk transfer strategies for a portfolio of life annuities based on RORAC
• Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
• Uncertainty in mortality projections: an actuarial perspective
• Mortality, longevity and experiments with the Lee-Carter model

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