Hostname: page-component-78c5997874-fbnjt Total loading time: 0 Render date: 2024-11-20T04:23:02.727Z Has data issue: false hasContentIssue false

Longevity Risk and Annuity Pricing with the Lee–Carter Model. Discussion Held at the Faculty of Actuaries

Published online by Cambridge University Press:  12 December 2011

Abstract

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Sessional meetings: papers and abstracts of discussions
Copyright
Copyright © Institute and Faculty of Actuaries 2009

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D., & Khalaf-Allah, M., (2008). Mortality density forecasts: an analysis of six stochastic mortality models. Working Paper.Google Scholar
Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D., Ong, A., & Balevich, I., (2009). A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. North American Actuarial Journal, 13(1), 135.CrossRefGoogle Scholar
Dowd, K., Blake, D., & Cairns, A.J.G. (2010). Facing up to uncertain life expectancy: the longevity fan charts. Demography, 47, 6778.CrossRefGoogle ScholarPubMed
CMI (Mortality Projection Working Party) (2007). Stochastic projection methodologies: further progress and P-Spline model features, example results and implications. Working Paper No. 20.Google Scholar
Chan, W.S., Li, S-H. & Cheung, S-H. (2008). Testing deterministic versus stochastic trends in the Lee–Carter mortality indexes and its implications for projecting mortality improvements at advanced ages. http://www.soa.org/library/monographs/retirementsystems/living-to-100-and-beyond/2008/january/mono-li08-6a-chan-abstract.pdfGoogle Scholar
CEIOPS (2007). QIS3 Calibration of the underwriting risk, market risk and MCR (CEIOPSFS-14/07). http://www.ceiops.eu/media/files/consultations/QIS/QIS3/QIS3CalibrationPapers.pdfGoogle Scholar