 Assessment of longevity risk: credibility approachBükre Yıldırım Külekci and A. Sevtap Selcuk-Kestel Journal of Applied Statistics, 2021, vol. 48, issue 13-15, 2695-2713 Abstract: To correctly measure the effect of mortality rates on the stability of insurance and pension provider's financial risk, longevity risk should be considered. This paper aims to investigate the future mortality and longevity risk with different age structures for different countries. Lee–Carter mortality model is used on the historical census data to forecast future mortality rates. Turkey, Germany, and Japan are chosen concerning their expected life and population distributions. Then, the longevity risk on a hypothetical portfolio is assessed based on static and dynamic mortality table approaches. To determine the impact of longevity risk, which is retrieved using a stochastic mortality model, a pension insurance product is taken into account. The net single premium for an annuity is quantified under the proposed set up for the selected countries. Additionally, the credibility approach is proposed to establish a reliable estimate for the annuity net single premium. Date: 2021 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:48:y:2021:i:13-15:p:2695-2713 Ordering information: This journal article can be ordered from DOI: 10.1080/02664763.2021.1922613 Access Statistics for this article Journal of Applied Statistics is currently edited by Robert Aykroyd More articles in Journal of Applied Statistics from Taylor & Francis Journals |
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