The Usefulness of Stochastic Mortality Modelling

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Bayesian Stochastic Mortality Modelling for Two Populations

The paper introduces a new framework for modelling the joint development over time of mortality rates in a pair of related populations by combining a number of recent and novel developments in stochastic mortality modelling. First, we develop an underlying stochastic model which incorporates a mean-reverting stochastic spread that allows for different trends in mortality improvement rates in th...

متن کامل

A Parsimonious Approach to Stochastic Mortality Modelling with Dependent Residuals

A standard approach to the fitting of stochastic mortality models is to maximise a likelihood function underpinned by an assumption that deaths follow a conditionally independent Poisson distribution. This, in turn, has led researchers to develop increasingly complex models in an effort to improve in-sample explanatory power. This paper, using the Cairns-BlakeDowd (CBD) model as an example, pro...

متن کامل

A user-friendly approach to stochastic mortality modelling

This paper proposes a general approach to stochastic mortality modelling, where the logit transforms of annual survival probabilities in different age groups are modelled by linear combinations of user-specified basis functions. The flexible construction allows for an easy incorporation of populationspecific characteristics and user preferences into the model. Moreover, the structure enables th...

متن کامل

Small population bias and sampling effects in stochastic mortality modelling

We propose the use of parametric bootstrap methods to investigate the finite sample distribution of the maximum likelihood estimator for the parameter vector of a stochastic mortality model. Particular emphasis is placed on the effect that the size of the underlying population has on the distribution of the MLE in finite samples, and on the dependency structure of the resulting estimator: that ...

متن کامل

securitization of mortality risks in life annuities

insurers have in the past few decades faced longevity risks - the risk that annuitants survive more than expected - and therefore need a new approach to manage this new risk. in this dissertation we survey methods that hedge longevity risks. these methods use securitization to manage risk, so using modern financial and insurance pricing models, especially wang transform and actuarial concepts, ...

15 صفحه اول

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Annals of Actuarial Science

سال: 2011

ISSN: 1748-4995,1748-5002

DOI: 10.1017/s1748499511000212