An index for longevity risk transfer |
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Authors: | Michel M. Denuit |
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Affiliation: | aInstitut de Statistique & Institut des Sciences Actuarielles, Université Catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium |
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Abstract: | This paper discusses the choice of an appropriate longevity index to track the improvements in mortality in industrialized countries. Period life expectancies computed from national life tables turn out to be efficient in this context. A detailed analysis of the predictive distribution of this longevity index is performed in the Lee–Carter model where the period life expectancy is just a functional of the underlying time index. |
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Keywords: | Mortality projection Predictive distribution Longevity risk Securitization |
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