Stochastic mortality: The impact on target capital

ASTIN Bulletin

Volumn 39, Issue 2, 2009, Pages 541-563

  Olivieri, Annamaria ^a   Pitacco, Ermanno ^b  

^a UNIVERSITY OF PARMA   (Italy)

^b UNIVERSITY OF TRIESTE   (Italy)

Author keywords

Insurance risk management; Internal models; Life annuities; Longevity risk; Process risk; Random fluctuations; Solvency; Systematic deviations

Indexed keywords

EID: 72949123263     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.39.2.2044647     Document Type: Article

References (28)

1. Abbink, M. and Saker, M. (2002) Getting to grips with fair value. Presented to the Staple Inn Actuarial Society, March 5. Available at: http://www.sias.org.uk.
2. Biffis, E. (2005) Affine processes for dynamic mortality and actuarial valuations. Insurance: Mathematics & Economics, 37(3), 443-468.
3. Biffis, E. and Millossovich, P. (2006) A bidimensional approach to mortality risk. Decisions in Economics and Finance, 29, 71-94.
4. Brémaud, P. (1981) Point processes and queues. Martingale dynamics. Springer-Verlag.
5. Bühlmann, H. (1970) Mathematical methods in risk theory. Springer-Verlag.
6. Cairns, A.J.G., Blake, D. and Dowd, K. (2006) Pricing death: frameworks for the valuation and securitization of mortality risk. ASTIN Bulletin, 36(1), 79-120.
7. Carun, B.P. and Louis, T.A. (2000) Bayes and empirical Bayes methods for data analysis. Chapman & Hall / CRC.
8. CEIOPS (2007) QIS3. Technical Specifications. Part I: Instructions. Available at: http://www.ceiops.eu
9. CEIOPS (2008) QIS4. Technical Specifications. Available at: http://www.ceiops.eu.
10. CMI (2002) An interim basis for adjusting the "92" Series mortality projections for cohort effects Working Paper 1, The Faculty of Actuaries and Institute of Actuaries.
11. CMI (2006) Stochastic projection methodologies: Further progress and P-Spline model features, example results and implications. Working Paper 6, The Faculty of Actuaries and Institute of Actuaries.
12. Dahl, M. (2004) Stochastic mortality in life insurance. Market reserves and mortality-linked insurance contracts. Insurance: Mathematics & Economics, 35(1), 113-136.
13. Dahl, M. and MULLER, T. (2006) Valuation and hedging of life insurance liabilities with systematic mortality risk. Insurance: Mathematics & Economics, 39(2), 193-217.
14. GERBER, H.U. (1995) Life insurance mathematics. Springer-Verlag.
15. Haberman, S. and Olivieri, A. (2008) Risk classification / Life. In: Melnick, E. and Everitt, B., eds, The Encyclopedia of Quantitative Risk Assessment and Analysis. John Wiley & Sons, Chichester, UK, 1535-1540.
16. Marocco, P. and PITACCO, E. (1998) Longevity risk and life annuity reinsurance. Transactions of the 26th International Congress of Actuaries, Birmingham, 6, 453-479.
17. Olivier, P. and Jeffrey, T. (2004) Stochastic mortality models. Presentation to the Society of Actuaries in Ireland.
18. Olivieri, A. (2001) Uncertainty in mortality projections: an actuarial perspective. Insurance: Mathematics & Economics, 29(2), 231-245.
19. Olivieri, A. (2006) Heterogeneity in survival models. Applications to pensions and life annuities. Belgian Actuarial Bulletin, 6, 23-39.
20. Olivieri, A. and Pitacco, E. (2002) Inference about mortality improvements in life annuity portfolios Transactions of the 27th International Congress of Actuaries, Cancun (Mexico).
21. Olivieri, A. and Pitacco, E. (2003) Solvency requirements for pension annuities. Journal of Pension Economics & Finance, 2, 127-157.
22. Panjer, H. and Willmot, G.E. (1992) Insurance risk models. The Society of Actuaries.
23. PITACCO, E. (1992) Risk classification and experience rating in sickness insurance. Transactions of the 24th International Congress of Actuaries, Montreal, Canada, 3, 209-221.
24. Robert, CD. and Casella, G. (2004) Monte Carlo statistical methods. Springer-Verlag.
25. Sandström, A. (2006) Solvency. Models, assessment and regulation. Chapman & Hall/CRC
26. Smith, A.D. (2005) Stochastic mortality modelling. Talk at the Workshop on the Interface between Quantitative Finance and Insurance, International Centre for Mathematical Science, Edinburgh.
27. Vaupel, J.W, Manton, K.G. and Stallard, E. (1979) The impact of heterogeneity in individual frailty on the dynamics of mortality. Demography, 16(3), 439-454.
28. WlLLETS, R.C. (2004) The cohort effect: insights and explanations. British Actuarial Journal, 10, 833-877.