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Modelling Longevity Dynamics for Pensions and Annuity Business

Modelling Longevity Dynamics for Pensions and Annuity Business

Author: Ermanno Pitacco; Michel Denuit; Steven Haberman; Annamaria Olivieri
Publisher: Oxford University Press
ISBN: 9780199547272
Published In: January 2009
Format: Hardback , 416 pages
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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Description
Contents
Author

Details
- Up to date and comprehensive overview of a fast developing and topical area
- Authors are well respected in their field
- Extensive list of references and detailed suggestions for further reading
- Based on authors' personal experience in research and teaching
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.

Readership: Post- graduate students in actuarial science, statistics and actuarial mathematics. Researchers, lecturers and professors, especially working in the fields of Life Insurance, Pensions, Actuarial Mathematics and Statistics.
Preface
1: Life annuities
2: The basic mortality model
3: Mortality trends during the 20th century
4: Forecasting mortality: an introduction
5: Forecasting Mortality: Applications and Examples of Age-Period Models
6: Forecasting mortality: applications and examples of age-period-cohort models
7: The longevity risk: actuarial perspectives
References
Index
Ermanno Pitacco, Department of Applied Mathematics,University of Trieste, Italy, Michel Denuit, Institute de Statistique (STAT), Université Catholique de Louvain, Belgium, Steven Haberman, Cass Business School, City University, London, and Annamaria Olivieri, Department of Economics, University of Parma, Italy