Das Eingehen von Pensionsverpflichtungen ist für Unternehmen mit vielfältigen Risiken verbunden. In diesem Papier … Ausfinanzierung von Pensionszusagen beleuchtet. -- Betriebliche Altersversorgung ; Frühverrentung ; Lebenserwartung …, differential mortality seem quite well considered. Regarding differences in the discount rate, imposition of the statutory …

Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable … should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models …-in terms, that is, of their goodness-of-fit and prediction accuracy-is often based on the logarithmic scale of the mortality …

We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death … causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities …