Longevité
2011-11-01Life expectancy takes on greater importance as Baby Boomers retire and we begin to realize the “risk” that a large…
The first part of this document provides an overview of various studies that focus on the causes of mortality improvements…
Le vieillissement est un concept simple, qui recouvre toutefois une multiplicité de significations plus ou moins implicites dont le mésusage…
Without a doubt, demand for living benefits will be substantial. The macroeconomic factors driving this – demographic shift, steady increase…
Modèles linéaires et additifs généralisés, maximum de vraisemblance local et méthodes relationnelles en assurance sur la vie
Vie > Longevité03/2010
(Contributions from SCOR experts in an external publication)
Understanding, modelling and managing longevity risk: key issues and main challenges
Vie > Longevité02/2010
(Contributions from SCOR experts in an external publication)
Annuities and Pensions
UK-Ireland: The Contiunous Mortality Investigation carries out research into mortality experience and modelling. They produce mortality tables…
Guaranteed Annuity Options
Guaranteed Annuity Options (GAOs) are options available to holders of certain pension policies. Under these contracts, policyholders…
Secondary Market - Life settlements
Living to 100: Survival to Advanced Ages: Insurance Industry Implication on Retirement Planning and the Secondary Market in Insurance
Vie > Longevité02/2010
The paper will focus on two broad areas: 1. Integration of insurance products with investment products…
Human senescence has been delayed by a decade. This finding, documented in 1994 and bolstered since, is a fundamental discovery…
2003-2007 | Swedish National Social Insurance Board I. Current Practice II. Probabilistic models III. The Linear Rise in Life…
A quantitative comparison of stochastic mortality models using data from England & Wales and the United States
Vie > Longevité07/2009
We compare quantitatively eight stochastic models explaining improvements in mortality rates in England &Wales and in the US. On the…
In the first part of the paper, we consider the wide range of extrapolative stochastic mortality models that have been…
A cohort-based extension to the Lee-Carter model for mortality reduction factors
Vie > Longevité02/2006
The Lee–Carter modelling framework is extended through the introduction of a wider class of generalised, parametric, non-linear models. This permits…
In this paper we consider the evolution of the post-60 mortality curve in the UK and its impact on the…
We investigate the feasibility of constructing mortality forecasts on the basis of the first two sets of single value decomposition vectors,…
Projected lifetables are used to price life annuities because they include a forecast of the future trends in mortality. However,…
A Poisson log-bilinear regression approach to the construction of projected lifetables
Vie > Longevité03/2012
This paper implements Wilmoth’s [Computational methods for fitting and extrapolating the Lee–Carter model of mortality change, Technical report, Department of…
The Lee-Carter method for forecasting mortality, with various extensions and applications
Vie > Longevité03/2012
In 1992, Lee and Carter published a new method for long-run forecasts of the level and age pattern of mortality,…
Time series methods are used to make long-run forecasts, with confidence intervals, of age-specific mortality in the United States from…
The CMI Mortality Projections Model, CMI 2010, Continuous Mortality Investigation
Vie > Longevité03/2010
The CMI Mortality Projections Model, CMI 2010, Continuous Mortality Investigation Working Paper 49: Working Paper 49 The model: http://www.actuaries.org.uk/sites/all/files/documents/xls/cmi2010model.xls The…
Insurance Product
This paper addresses the problem of the sharing of longevity risk between an annuity provider and a…
Securitization, Reinsurance, Longevity indices
The aim of LLMA is to promote a liquid traded market in longevity and mortality-related risk. They…
Research Articles
Pricing and risk management for longevity risk has increasingly become a major challenge for life insurers and pension…
For annuity providers, longevity risk, i.e. the risk that future mortality trends differ from those anticipated, constitutes…
Longevity risk is one of the remaining frontiers challenging modern financial markets and financial engineering. Financial innovation…
Securitization of Longevity Risk: Pricing Survivor Bonds With Wang Transform in the Lee‐Carter Framework
Vie > Longevité03/2007
Longevity risk is a major issue for insurers and pension funds, especially in the selling of annuity…
Living with mortality: longevity bonds and other mortality-linked securities
Vie > Longevité02/2006
This paper addresses the problem of longevity risk - the risk of uncertain aggregate mortality - and…
This paper examines the main characteristics of longevity bonds (LBs) and shows that they can take a…
Pricing death: Frameworks for the valuation and securitization of mortality risk
Vie > Longevité04/2012
It is now widely accepted that stochastic mortality - the risk that aggregate mortality might differ from…
Securitization of mortality risks is an alternative risk management tool that may have some advantages over reinsurance.…
Pricing frameworks for securitization of mortality risks A.J.G. Cairns, D. Blake, K. Dowd Proceedings of the 14th…
Certains sites sont très riches en articles concernant le risque de longévité et les produits d’assurance associés, notre sélection mentionne…
Dernières mises à jour
- U.S. Individual Life Insurance Persistency
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Vie > Mortalité
04/2011 - Research Investments and Market Structure in the Food Processing, Agricultural Input, and Biofuel Industries Worldwide
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P&C > Agriculture
12/2011 - Index insurance and climate risk: Prospects for development and disaster management
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P&C > Agriculture
05/2009
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