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

By N. Hari


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.

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