In the classical Lee-Carter model, the mortality indices that are assumed to be a random walk model with drift are normally distributed. However, for the long-term mortality data, the error terms of the Lee-Carter model and the mortality indices have tails thicker than those of a normal...

Mortality improvement has become a major issue in ratemaking for insurance companies, and ratemaking is especially difficult in Taiwan. There are two reasons for this difficulty: population size and rapid improvement in mortality. Because the history of life insurance in Taiwan is relatively...

When the outstanding balance exceeds the housing value before the loan is settled, the insurer suffers an exposure to crossover risk induced by three risk factors: interest rates, house prices and mortality rates. With consideration of housing price risk, interest rate risk and longevity risk,...

This research studies the interaction between longevity risk and asset allocation for a defined contribution pension plan. We investigate the investment strategy during the accumulation phase to deal with longevity risk during the decumulation phase. The longevity risk is demonstrated using the...