This book deals with some very important topics in the field of actuarial mathematics and life insurance techniques. These concern mortality improvements, the uncertainty in future mortality trends and their relevant impact on life annuities and pension plans. In particular, we consider the actuarial calculations concerning pensions and life annuities. The insurance company (or the pension plan) must adopt an appropriate forecast of future mortality in order to avoid underestimation of the related liabilities. The concepts and models could be extended to apply to other living benefits, which are provided, for example, by long-term care insurance products and whole life sickness covers. Considerable attention is currently being devoted in actuarial work 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 in many countries from defined benefit to defined contribution pension schemes has increased the interest in life annuities with a guaranteed annual amount. This book aims at providing 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. The following topics are dealt with: life annuities in the framework of postretirement income strategies; the basic mortality model; recent mortality trends; general features of projection models; a discussion of stochastic projection models, with numerical illustrations; measuring and managing longevity risk. This book is aimed at researchers and postgraduates of actuarial science, statistics and actuarial mathematics.

Modelling longevity dynamics for pensions and annuity business / E., Pitacco; M., Denuit; S., Haberman; Olivieri, Annamaria. - (2009).

Modelling longevity dynamics for pensions and annuity business

OLIVIERI, Annamaria
2009-01-01

Abstract

This book deals with some very important topics in the field of actuarial mathematics and life insurance techniques. These concern mortality improvements, the uncertainty in future mortality trends and their relevant impact on life annuities and pension plans. In particular, we consider the actuarial calculations concerning pensions and life annuities. The insurance company (or the pension plan) must adopt an appropriate forecast of future mortality in order to avoid underestimation of the related liabilities. The concepts and models could be extended to apply to other living benefits, which are provided, for example, by long-term care insurance products and whole life sickness covers. Considerable attention is currently being devoted in actuarial work 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 in many countries from defined benefit to defined contribution pension schemes has increased the interest in life annuities with a guaranteed annual amount. This book aims at providing 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. The following topics are dealt with: life annuities in the framework of postretirement income strategies; the basic mortality model; recent mortality trends; general features of projection models; a discussion of stochastic projection models, with numerical illustrations; measuring and managing longevity risk. This book is aimed at researchers and postgraduates of actuarial science, statistics and actuarial mathematics.
2009
9780199547272
Modelling longevity dynamics for pensions and annuity business / E., Pitacco; M., Denuit; S., Haberman; Olivieri, Annamaria. - (2009).
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11381/2416797
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