Modelling Longevity Dynamics for Pensions and Annuity Business

Ermanno Pitacco, Michel Denuit, Steven Haberman and Annamaria Olivieri
Additional contact information
Ermanno Pitacco: Department of Applied Mathematics,University of Trieste, Italy
Michel Denuit: Institute de Statistique (STAT), Universite Catholique de Louvain, Belgium
Steven Haberman: Cass Business School, City University, London
Annamaria Olivieri: Department of Economics, University of Parma, Italy

in OUP Catalogue from Oxford University Press

Abstract: Mortality improvements, uncertainty in future mortality trends and the relevant impact on life annuities and pension plans constitute important topics in the field of actuarial mathematics and life insurance techniques. In particular, actuarial calculations concerning pensions, life annuities and other living benefits (provided, for example, by long-term care insurance products and whole life sickness covers) are based on survival probabilities which necessarily extend over a long time horizon. In order to avoid underestimation of the related liabilities, the insurance company (or the pension plan) must adopt an appropriate forecast of future mortality. Great attention is currently being devoted to the management of life annuity portfolios, both from a theoretical and a practical point of view, because of the growing importance of annuity benefits paid by private pension schemes. In particular, the progressive shift from defined benefit to defined contribution pension schemes has increased the interest in life annuities with a guaranteed annual amount. This book provides a comprehensive and detailed description of methods for projecting mortality, and an extensive introduction to some important issues concerning longevity risk in the area of life annuities and pension benefits. It relies on research work carried out by the authors, as well as on a wide teaching experience and in CPD (Continuing Professional Development) initiatives. The following topics are dealt with: life annuities in the framework of post-retirement income strategies; the basic mortality model; recent mortality trends that have been experienced; general features of projection models; discussion of stochastic projection models, with numerical illustrations; measuring and managing longevity risk.

Date: 2009
ISBN: 9780199547272
References: Add references at CitEc
Citations: View citations in EconPapers (100)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oxp:obooks:9780199547272

Ordering information: This item can be ordered from
http://ukcatalogue.o ... uct/9780199547272.do

Access Statistics for this book

More books in OUP Catalogue from Oxford University Press
Bibliographic data for series maintained by Economics Book Marketing ().