Location of Repository

Modeling Mortality: Empirical Studies on the Effect of Mortality on Annuity Markets.

By N. Hari

Abstract

Chapter 3 of the dissertation models the macro-longevity risk and introduces a stochastic model for human mortality rates. Chapter 4 analyzes the importance of mortality improvement and mortality risk (macro- and micro-longevity risk and parameter uncertainty) on solvency positions of pension funds of various sizes. Chapter 5 measures the present value of a single year participation in a collective pension scheme consisting of heterogeneous participants with respect to survival characteristics, and quantifies the incentives for individuals that participate in such systems.

OAI identifier:

Suggested articles

Preview

Citations

  1. (2003a), Lee-Carter mortality forecasting with age-speci¯c enhancement,
  2. (2006). A cohort-based extension to the LeeCarter model for mortality reduction factors, Insurance: Mathematics and Economics, in press.References 135
  3. (2001). A review of demographic forecasting models for mortality,
  4. (2006). A±ne stochastic mortality,
  5. (2000). An investigation into parametric models for mortality projections, with applications to immediate annuitants' and life o±ce pensioners' data,
  6. (1993). Computational methods for ¯tting and extrapolating the Lee-Carter model of mortality change,
  7. (1998). Individual ¯nancial decisions in retirement saving plans and the provision of resources for retirement,
  8. (2002). Longevity risk in living bene¯ts, Working Paper, Center for Research on Pension and Welfare Policies, Presented at the third annual CeRP conference "Developing an Annuity Market in Europe",
  9. On a mathematical formula to express the rate of mortality throughout the whole of life,
  10. (1932). On some experiments in the graduation of mortality statistics,
  11. On the forecasting of mortality reduction factors,
  12. (2003). Pension funds and value-based generational accounting,
  13. (2002). Risk and reinsurance in life annuity portfolios, Working
  14. (1994). Socioeconomic di®erences in adult mortality and health status,
  15. (2004). Survival models in a dynamic context: a survey,
  16. (1993). The increasing disparity in mortality between socioeconomic groups in the United States:

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.