Modelling the Life Expectancy of Elderly People for Life Insurance and Pension Systems

Anna Jędrzychowska () and Jan Gogola ()
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Anna Jędrzychowska: Wroclaw University of Economics and Business
Jan Gogola: University of Pardubice

Chapter Chapter 9 in Life Insurance in Europe, 2020, pp 127-145 from Springer

Abstract: Abstract This chapter demonstrates the importance for insurance and pension companies of correctly measuring mortality and life expectancy. The analysis focuses on mortality at higher ages (65–95), in line with an interest in pension-related applications where the risk associated with longer-term cash flow is primarily linked to uncertainty regarding future mortality rates. Over the last 30 years, the mortality of the population in developed countries has rapidly improved. This has significant financial implications for insurance companies as several essential classes of liability are sensitive to the direction of future mortality trends. This paper presents the results of estimating the Lee-Carter model for selected European countries and simulating term annuities for the retirement programmes of elderly people in these countries.

Keywords: Longevity risk; Lee-Carter model; Life expectancy; Pension; Life insurance (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:fimchp:978-3-030-49655-5_9

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DOI: 10.1007/978-3-030-49655-5_9

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