Modelling Longevity Dynamics for Pensions and Annuity Business

Hardcover | December 10, 2008

byErmanno Pitacco, Michael Denuit, Steven Haberman

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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 annuitiesand 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 thepension 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 definedcontribution 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 awide 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 ofprojection models; discussion of stochastic projection models, with numerical illustrations; measuring and managing longevity risk.

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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 annuitiesand other living benefits (provided, for exa...

Ermanno Pitacco is full professor of Actuarial Mathematics in the Faculty of Economics, University of Trieste, Academic Director of the Master in Insurance and Risk Management at the MIB School of Management in Trieste, Full member of the Istituto Italiano degli Attuari (Italy), Affiliate member of the Institute of Actuaries (UK). He ...

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Format:HardcoverDimensions:400 pages, 9.69 × 7.44 × 0.98 inPublished:December 10, 2008Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199547270

ISBN - 13:9780199547272

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Table of Contents

Preface1. Life annuities2. The basic mortality model3. Mortality trends during the 20th century4. Forecasting mortality: an introduction5. Forecasting Mortality: Applications and Examples of Age-Period Models6. Forecasting mortality: applications and examples of age-period-cohort models7. The longevity risk: actuarial perspectivesReferencesIndex