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Individual welfare gains from deferred life-annuities under stochastic Lee-Carter mortality
Post, Thomas - 2009
A deferred annuity typically includes an option-like right for the policyholder. At the end of the deferment period, he may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or receive the accumulated capital as a lump sum....
Persistent link: https://www.econbiz.de/10010263765
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Stochastic mortality, macroeconomic risks, and life insurer solvency
Hanewald, Katja; Post, Thomas; Gründl, Helmut - 2009
Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...
Persistent link: https://www.econbiz.de/10010265671
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Individual Welfare Gains from Deferred Life-Annuities under Stochastic Lee-Carter Mortality
Post, Thomas - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
A deferred annuity typically includes an option-like right for the policyholder. At the end of the deferment period, he may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or receive the accumulated capital as a lump sum....
Persistent link: https://www.econbiz.de/10005784844
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Non mean reverting affine processes for stochastic mortality.
Luciano, Elisa; Vigna, Elena - International Centre for Economic Research (ICER) - 2005
In this paper we use doubly stochastic processes (or Cox processes) in order to model the random evolution of mortality of an individual. These processes have been widely used in the credit risk literature in modelling default arrival, and in this context have proved to be quite flexible,...
Persistent link: https://www.econbiz.de/10005577361
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Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency
Hanewald, Katja; Post, Thomas; Gründl, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...
Persistent link: https://www.econbiz.de/10005207946
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Non mean reverting affne processes for stochastic mortality
Luciano, Elisa; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2006
In this paper we use doubly stochastic processes (or Cox processes) in order to model the random evolution of mortality of an individual. These processes have been widely used in the credit risk literature in modelling default arrival, and in this context have proved to be quite flexible,...
Persistent link: https://www.econbiz.de/10005094052
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Modelling stochastic mortality for dependent lives
Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - Collegio Carlo Alberto, Università degli Studi di Torino - 2007
each gen- der. Dependence between the survival times of the members of a couple is captured by an Archimedean copula. We … also provide a methodology for fitting the joint survival function by working separately on the (analytical) copula and the … (analytical) mar- gins. First, we calibrate and select the best fit copula according to the methodology of Wang and Wells (2000b …
Persistent link: https://www.econbiz.de/10005094084
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A theory of bonus in life insurance
Norberg, Ragnar - In: Finance and Stochastics 3 (1999) 4, pp. 373-390
The issue of bonus in life insurance is considered in a model framework where the traditional set-up is extended by letting the experience basis (mortality, interest, etc.) be stochastic. A novel definition of the technical surplus on an insurance contract is proposed, and basic principles for...
Persistent link: https://www.econbiz.de/10005613415
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An innovative design of flexible, bequest-enhanced life annuity with natural hedging
Zhou, Yuxin; Sherris, Michael; Ziveyi, Jonathan; Xu, Mengyi - In: Scandinavian actuarial journal 2022 (2022) 6, pp. 488-509
Persistent link: https://www.econbiz.de/10013370711
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A copula test space model: How to avoid the wrong copula choice
MICHIELS, Frederik; DE SCHEPPER, Ann - Faculteit Toegepaste Economische Wetenschappen, … - 2007
We introduce and discuss the test space problem as a part of the whole copula fitting process. In particular, we … explain how an efficient copula test space can be constructed by taking into account information about the existing dependence …. Although our model is developed in a bivariate environment it can be used for higher dimensional copula fitting applications …
Persistent link: https://www.econbiz.de/10005824282