Alai, Daniel H., Ignatieva, Katja, Sherris, Michael (2019) The Investigation of a Forward-Rate Mortality Framework. Risks, 7 (2). Article Number 61. ISSN 2227-9091. (doi:10.3390/risks7020061) (KAR id:74245)
PDF
Publisher pdf
Language: English
This work is licensed under a Creative Commons Attribution 4.0 International License.
|
|
Download this file (PDF/1MB) |
Preview |
Request a format suitable for use with assistive technology e.g. a screenreader | |
Official URL: https://doi.org/10.3390/risks7020061 |
Abstract
Stochastic mortality models have been developed for a range of applications from demographic projections to financial management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have the advantage of being applied to financial pricing and the management of longevity risk. Olivier and Jeffery (2004) and Smith (2005) proposed a model based on a forward-rate mortality framework with stochastic factors driven by univariate gamma random variables irrespective of age or duration. We assess and further develop this model. We generalize random shocks from a univariate gamma to a univariate Tweedie distribution and allow for the distributions to vary by age. Furthermore, since dependence between ages is an observed characteristic of mortality rate improvements, we formulate a multivariate framework using copulas. We find that dependence increases with age and introduce a suitable covariance structure, one that is related to the notion of ax minimum. The resulting model provides a more realistic basis for capturing the risk of mortality improvements and serves to enhance longevity risk management for pension and insurance funds.
Item Type: | Article |
---|---|
DOI/Identification number: | 10.3390/risks7020061 |
Uncontrolled keywords: | longevity risk; Olivier–Smith model; forward-rate mortality framework; minimum covariance pattern; copulas |
Subjects: | Q Science > QA Mathematics (inc Computing science) |
Divisions: | Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science |
Depositing User: | Daniel Alai |
Date Deposited: | 04 Jun 2019 12:29 UTC |
Last Modified: | 04 Mar 2024 18:19 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/74245 (The current URI for this page, for reference purposes) |
- Link to SensusAccess
- Export to:
- RefWorks
- EPrints3 XML
- BibTeX
- CSV
- Depositors only (login required):