Longevity risk and capital markets: The 2019-20 update
Abstract This Special Issue of Insurance: Mathematics and Economics contains 16
contributions to the academic literature all dealing with longevity risk and capital markets …
contributions to the academic literature all dealing with longevity risk and capital markets …
Point and interval forecasts of death rates using neural networks
S Schnürch, R Korn - ASTIN Bulletin: The Journal of the IAA, 2022 - cambridge.org
The Lee–Carter model has become a benchmark in stochastic mortality modeling. However,
its forecasting performance can be significantly improved upon by modern machine learning …
its forecasting performance can be significantly improved upon by modern machine learning …
Still living with mortality: The longevity risk transfer market after one decade
This paper updates Living with Mortality published in 2006. It describes how the longevity
risk transfer market has developed over the intervening period, and, in particular, how …
risk transfer market has developed over the intervening period, and, in particular, how …
A neural approach to improve the Lee-Carter mortality density forecasts
Several countries worldwide are experiencing a continuous increase in life expectancy,
extending the challenges of life actuaries and demographers in forecasting mortality …
extending the challenges of life actuaries and demographers in forecasting mortality …
What do we know about annuitization decisions?
M Alexandrova, N Gatzert - Risk Management and Insurance …, 2019 - Wiley Online Library
Against the background of aging societies and increasing life expectancies, the protection of
individuals from outliving their savings has become increasingly relevant. Annuities …
individuals from outliving their savings has become increasingly relevant. Annuities …
A comparison of forecasting mortality models using resampling methods
The accuracy of the predictions of age-specific probabilities of death is an essential
objective for the insurance industry since it dramatically affects the proper valuation of their …
objective for the insurance industry since it dramatically affects the proper valuation of their …
A quantitative comparison of simulation strategies for mortality projection
J Li - Annals of Actuarial Science, 2014 - cambridge.org
A quantitative comparison of simulation strategies for mortality projection Jackie Li* Page 1
Annals of Actuarial Science, Vol. 8, part 2, pp. 281–297. © Institute and Faculty of Actuaries …
Annals of Actuarial Science, Vol. 8, part 2, pp. 281–297. © Institute and Faculty of Actuaries …
Longevity risk and capital markets: the 2021–22 update
This special issue of the Journal of Demographic Economics contains 10 contributions to the
academic literature all dealing with longevity risk and capital markets. Draft versions of the …
academic literature all dealing with longevity risk and capital markets. Draft versions of the …
Inference pitfalls in Lee–Carter model for forecasting mortality
Forecasting mortality is of importance in managing longevity risks for insurance companies
and pension funds. Some widely employed models are the so-called Lee–Carter model and …
and pension funds. Some widely employed models are the so-called Lee–Carter model and …
A Bühlmann credibility approach to modeling mortality rates
In this article, we first propose a Bühlmann nonparametric credibility approach to forecasting
mortality rates, and we then compare forecasting performances between the proposed …
mortality rates, and we then compare forecasting performances between the proposed …