4,719 research outputs found
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Surplus analysis for variable annuities with a GMDB option
In this paper, we analyze the insurance surplus for a Variable Annuity contract with a Guaranteed Minimum Death Benefit (GMDB) option. Initially, we derive the first two moments of the distribution of the surplus; and subsequently, we develop the whole distribution using a stochastic model which involves an integrated analysis of financial and mortality risk for a portfolio of annuities with GMDB embedded options. We offer a model according which the premium can be modified as per the forecasts of mortality probabilities, interest rate and fund evolution. Moreover, the study enables us to determine the premium that leads to a required probability of insolvency, and so it can be used for an evaluation of the adequacy of solvency. Numerical examples illustrate the results
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Lee Carter mortality forecasting: application to the Italian population
In this paper we investigate the feasibility of using the Lee-Carter methodology to construct mortality forecasts for the Italian population. We fit the model to the matrix of Italian death rates for each gender from 1950 to 2000. A time-varying index of mortality is forecasted in an ARIMA framework and is used to generate projected life tables. In particular we focus on life expectancies at birth and, for the purpose of comparison, we introduce an alternative approach for forecasting life expectancies on a period basis. The resulting forecasts generated by the two methods are then compared
Uniqueness in Calderon's problem with Lipschitz conductivities
We use X^{s,b}-inspired spaces to prove a uniqueness result for Calderon's
problem in a Lipschitz domain under the assumption that the conductivity is
Lipschitz. For Lipschitz conductivities, we obtain uniqueness for
conductivities close to the identity in a suitable sense. We also prove
uniqueness for arbitrary C^1 conductivities.Comment: 14 page
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Asymptotic and numerical analysis of the optimal investment strategy for an insurer
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Mortality risk and the valuation of annuities with guaranteed minimum death benefit options: application to the Italian population
In this note, we describe the payoff of Guaranteed Minimum Death Benefit options (GMDB) embedded in annuity contracts and discuss their valuation using data for the Italian male population as a case study. These put options have stochastic maturity dates due to the involuntary exercise at the moment of death. We value the GMDB as a weighted average price of a set of deterministic put options with different maturity dates, where the weights are the probability of death at every date. We take into account the mortality risk and investigate the sensitivity of the price of the option to changes in mortality probability using both deterministic and stochastic approaches
Forecasting multiple functional time series in a group structure: an application to mortality’
When modeling sub-national mortality rates, we should consider three features: (1) how to incorporate any possible correlation among sub-populations to potentially improve forecast accuracy through multi-population joint modeling; (2) how to reconcile sub-national mortality forecasts so that they aggregate adequately across various levels of a group structure; (3) among the forecast reconciliation methods, how to combine their forecasts to achieve improved forecast accuracy. To address these issues, we introduce an extension of grouped univariate functional time series method. We first consider a multivariate functional time series method to jointly forecast multiple related series. We then evaluate the impact and benefit of using forecast combinations among the forecast reconciliation methods. Using the Japanese regional age-specific mortality rates, we investigate one-step-ahead to 15-step-ahead point and interval forecast accuracies of our proposed extension and make recommendations
A comparative study of parametric mortality projection models
The relative merits of different parametric models for making life expectancy and annuity value predictions at both pensioner and adult ages are investigated. This study builds on current published research and considers recent model enhancements and the extent to which these enhancements address the deficiencies that have been identified of some of the models. The England & Wales male mortality experience is used to conduct detailed comparisons at pensioner ages, having first established a common basis for comparison across all models. The model comparison is then extended to include the England & Wales female experience and both the male and female USA mortality experiences over a wider age range, encompassing also the working ages
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llc: a collection of R functions for fitting a class of Lee-Carter mortality models using iterative fitting algorithms
We implement a specialised iterative regression methodology in R for the analysis of age-period mortality data based on a class of generalised Lee-Carter (LC) type modelling structures. The LC-based modelling frameworks is viewed in the current literature as among the most efficient and transparent methods of modelling and projecting mortality improvements. Thus, we make use of the modelling approach discussed in Renshaw and Haberman (2006), which extends the basic LC model and proposes to make use of a tailored iterative process to generate parameter estimates based on Poisson likelihood. Furthermore, building on this methodology we develop and implement a stratified LC model for the measurement of the additive effect on the log scale of an explanatory factor (other than age and time). This modelling methodology is implemented in a publically available collection of programming functions that facilitate both the preparation of mortality data and the fitting and analysis of the given log-linear modelling structures. Also, the package incorporates methods to produce forecasts of future mortality rates and to compute the corresponding future life expectancy
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