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Forward mortality and other vital rates: are they the way forward?

By Ragnar Norberg

Abstract

This paper presents a comparative study of stochastic interest and stochastic mortality showing that, despite a virtual similarity, the two concepts are fundamentally different. The notion of forward mortality rate, fetched from finance and now the latest thing in actuarial science, is predicted to soon go out of fashion. Trying it on, it does not fill the measurements of a well-made theoretical concept: there is an element of arbitrariness in its very definition, it disobeys certain self-evident parity requirements, and it fails to generalize to more complex models. It is concluded that forward rate modeling, while passable in the context of interest, is not the way forward in the context of mortality and more general life history analysis

Topics: HF Commerce, HG Finance, QA Mathematics
Publisher: Elsevier
Year: 2010
DOI identifier: 10.1016/j.insmatheco.2010.07.002
OAI identifier: oai:eprints.lse.ac.uk:29599
Provided by: LSE Research Online
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