Modelling Longevity Dynamics for Pensions and Annuity Business Ermanno Pitacco

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Published: January 29th 2009

Kindle Edition

400 pages


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Modelling Longevity Dynamics for Pensions and Annuity Business  by  Ermanno Pitacco

Modelling Longevity Dynamics for Pensions and Annuity Business by Ermanno Pitacco
January 29th 2009 | Kindle Edition | PDF, EPUB, FB2, DjVu, audiobook, mp3, ZIP | 400 pages | ISBN: | 6.79 Mb

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, actuarialMoreMortality 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 longtime 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- thebasic 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.



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