Modelling Longevity Dynamics for Pensions and Annuity Business
Published on 29. January 2009
Book
Hardback
416 pages
978-0-19-954727-2 (ISBN)
Description
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.
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.
Reviews / Votes
The authors have done an excellent job in bringing together coverage on topics of current interest and providing a modern approach to mortality modeling not found in the acturial textbooks. * Michael Sherris and Daniel Alai, Journal of Pension Economics and Finance *More details
Language
English
Place of publication
Oxford
United Kingdom
Target group
College/higher education
Professional and scholarly
Illustrations
129 line illustrations
Dimensions
Height: 240 mm
Width: 161 mm
Thickness: 27 mm
Weight
787 gr
ISBN-13
978-0-19-954727-2 (9780199547272)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Ermanno Pitacco ... [et Al.]
Modelling Longevity Dynamics for Pensions and Annuity Business
E-Book
01/2009
1st Edition
Oxford University Press
€190.29
Available for download
Ermanno Pitacco | Michel Denuit | Steven Haberman
Modelling Longevity Dynamics for Pensions and Annuity Business
E-Book
01/2009
OUP eBook
€100.99
Available for download
Persons
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 has authored 90 papers and textbooks in the field of actuarial techniques.
Michel Denuit is Professor of Statistics and Actuarial Mathematics, Universite Catholique de Louvain. He was a founding member of the Belgian Actuarial Bulletin. He is also Proceedings Editor for Insurance: Mathematics and Economics, Editor for ASTIN Bulletin, Associate Editor, Methodology and Computing in Applied Probability, Member of the Advisory Board for the Wiley Encyclopedia of Actuarial Science, Member of the Advisory Board for the Wiley Encyclopedia of Quantitative Risk Analysis and Assessment, and Associate Editor of the Australian and New Zealand Journal of Statistics.
Steven Haberman is Professor of Actuarial Science in Cass Business School, City University, Fellow of the Institute of Actuaries (UK), Associate of Society of Actuaries (US) and Honorary Member of the Istituto Italiano degli Attuari (Italy), He is author of about 150 papers and textbooks in the field of actuarial mathematics and actuarial techniques and was a founding editor of Founding Editor of the international journal "Journal of Pension Economics and Finance ".
Annamaria Olivieri is Full professor of Mathematical Methods for Economics, Actuarial Science and Finance, Faculty of Economics, University of Parma and a full member of the Istituto Italiano degli Attuari (Italy). She has been the author of many papers and textbooks in the field of actuarial mathematics and actuarial techniques.
Michel Denuit is Professor of Statistics and Actuarial Mathematics, Universite Catholique de Louvain. He was a founding member of the Belgian Actuarial Bulletin. He is also Proceedings Editor for Insurance: Mathematics and Economics, Editor for ASTIN Bulletin, Associate Editor, Methodology and Computing in Applied Probability, Member of the Advisory Board for the Wiley Encyclopedia of Actuarial Science, Member of the Advisory Board for the Wiley Encyclopedia of Quantitative Risk Analysis and Assessment, and Associate Editor of the Australian and New Zealand Journal of Statistics.
Steven Haberman is Professor of Actuarial Science in Cass Business School, City University, Fellow of the Institute of Actuaries (UK), Associate of Society of Actuaries (US) and Honorary Member of the Istituto Italiano degli Attuari (Italy), He is author of about 150 papers and textbooks in the field of actuarial mathematics and actuarial techniques and was a founding editor of Founding Editor of the international journal "Journal of Pension Economics and Finance ".
Annamaria Olivieri is Full professor of Mathematical Methods for Economics, Actuarial Science and Finance, Faculty of Economics, University of Parma and a full member of the Istituto Italiano degli Attuari (Italy). She has been the author of many papers and textbooks in the field of actuarial mathematics and actuarial techniques.
Content
PREFACE; REFERENCES; INDEX