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This paper assesses and compares multi-factor continuous time affine mortality models applied to age-cohort mortality curves that are well suited for theoretical and practical application in finance and insurance. Models based on Gaussian distributed mortality rates, as well as the...
Persistent link: https://www.econbiz.de/10012863730
This paper proposes and calibrates a consistent multi-factor affine term structure mortality model for longevity risk applications. We show that this model is appropriate for fitting historical mortality rates. Without traded mortality instruments the choice of risk-neutral measure is not unique...
Persistent link: https://www.econbiz.de/10013114791
Systematic improvements in mortality increases dependence in the survival distributions of insured lives. This is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving. Furthermore, systematic longevity risk undermines the law of large numbers; a...
Persistent link: https://www.econbiz.de/10013083697
Systematic improvements in mortality dependence in the survival distributions of insured lives, which is not accounted for in standard life tables and actuarial models used for annuity pricing and reserving. Systematic longevity risk also undermines the law of large numbers; a law that is relied...
Persistent link: https://www.econbiz.de/10013091222
Cohort effects have been identified in many countries. However, some mortality models only consider the modelling and projection of age-period effects. Others, that incorporate cohort effects, do not consider cohort specific survival curves that are important for pricing and hedging purposes. In...
Persistent link: https://www.econbiz.de/10013023126
The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk factors, but also the attitude of investors towards those factors. In this research, we investigate how to estimate the market risk premium of longevity risk using investable...
Persistent link: https://www.econbiz.de/10012927869
This short paper provides tutorial guidance in the use of the R files within the Github repository affine_mortality containing the code used to fit, examine and compare continuous-time affine mortality models. The final implementation will be available as the R package AffineMortality....
Persistent link: https://www.econbiz.de/10013214190
Affine mortality models, developed in continuous time, are well suited to longevity applications including pricing and risk management. Advantages of this modelling approach include closed-form derivations of cohort survival curves, with these survival curves consistent with the dynamics of...
Persistent link: https://www.econbiz.de/10013214191
This paper proposes and assesses consistent multi-factor dynamic affine mortality models for longevity risk applications. The dynamics of the model produce closed-form expressions for survival curves. The framework includes an arbitrage-free model specification. There are multiple risk factors...
Persistent link: https://www.econbiz.de/10010551684
Systematic improvements in mortality results in dependence in the survival distributions of insured lives. This is not allowed for in standard life tables and actuarial models used for annuity pricing and reserving. Systematic longevity risk also undermines the law of large numbers; a law that...
Persistent link: https://www.econbiz.de/10010551710