1,962 research outputs found
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On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-Carter modelling
This paper provides a comparative study of simulation strategies for assessing risk in mortality rate predictions and associated estimates of life expectancy and annuity values in both period and cohort frameworks
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An empirical study of claim and sickness inception transition intensities (aspects of the UK permanent health insurance experience)
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Lee-Carter mortality forecasting, a parallel GLM approach, England & Wales mortality projections
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Observations on the proposed new mortality tables based on the 1991-94 experience for male permanent assurances
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Modelling the recent time trends in UK permanent health insurance recovery, mortality and claim inception transition intensities
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Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach for modelling and projecting mortality
In this paper, we develop accurate approximations for medians of life expectancy and life annuity pure premiums viewed as functions of future mortality trends as predicted by parametric models of the improvement rates in mortality. Numerical illustrations show that the comonotonic approximations perform well in this case, which suggests that they can be used in practice to evaluate the consequences of the uncertainty in future death rates. Prediction intervals based on 5% and 95% quantiles are also considered but appear to be wider compared to simulated ones. This provides the practitioner with a conservative shortcut, thereby avoiding the problem of simulations within simulations in, for instance, Solvency 2 calculations
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