Measuring the effect of mortality improvements on the cost of annuities

DOI10.1016/j.insmatheco.2006.02.005zbMath1201.91092OpenAlexW1974279426MaRDI QIDQ849595

Richard J. Verrall, Steven Haberman, Marwa Khalaf-Allah

Publication date: 31 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.005

Mathematics Subject Classification ID

Related Items (8)

Sensitivity of life insurance reserves via Markov semigroups ⋮ Longevity-Indexed Life Annuities ⋮ De-risking strategy: longevity spread buy-in ⋮ Entropy, longevity and the cost of annuities ⋮ A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension ⋮ A sensitivity analysis of typical life insurance contracts with respect to the technical basis ⋮ Coherent mortality forecasting with generalized linear models: a modified time-transformation approach ⋮ Calculation of changes in life expectancy based on proportional hazards model of an intervention

Cites Work

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• Modeling and Forecasting U.S. Mortality
• Survival models in a dynamic context: a survey
• Valuation of guaranteed annuity conversion options.
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Projecting Mortality Trends
• Actuarial Modeling with MCMC and BUGs
• An investigation into parametric model for mortality projections, with applications to immediate annuitants' and life office pensioners' data
• Uncertainty in mortality projections: an actuarial perspective

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