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Showing 1 - 26 of 26 Journals sorted alphabetically
Annals of Actuarial Science     Full-text available via subscription   (Followers: 2)
Asia-Pacific Journal of Risk and Insurance     Hybrid Journal   (Followers: 7)
Assurances et gestion des risques     Full-text available via subscription  
Astin Bulletin     Full-text available via subscription   (Followers: 1)
Banks in Insurance Report     Hybrid Journal   (Followers: 1)
Blätter der DGVFM     Hybrid Journal   (Followers: 2)
British Actuarial Journal     Full-text available via subscription   (Followers: 1)
Geneva Papers on Risk and Insurance - Issues and Practice     Hybrid Journal   (Followers: 13)
Geneva Risk and Insurance Review     Hybrid Journal   (Followers: 7)
Health Affairs     Full-text available via subscription   (Followers: 80)
Insurance Markets and Companies     Open Access  
Insurance: Mathematics and Economics     Hybrid Journal   (Followers: 10)
International Journal of Business Continuity and Risk Management     Hybrid Journal   (Followers: 17)
International Journal of Forensic Engineering     Hybrid Journal   (Followers: 3)
International Journal of Forensic Engineering and Management     Hybrid Journal   (Followers: 3)
International Journal of Health Economics and Management     Hybrid Journal   (Followers: 13)
International Social Security Review     Hybrid Journal   (Followers: 8)
Journal for Labour Market Research     Open Access   (Followers: 9)
Journal of Derivatives & Hedge Funds     Hybrid Journal   (Followers: 9)
Journal of Risk and Insurance     Hybrid Journal   (Followers: 17)
Risk Management     Hybrid Journal   (Followers: 15)
Risk Management & Insurance Review     Hybrid Journal   (Followers: 10)
Scandinavian Actuarial Journal     Hybrid Journal   (Followers: 2)
SourceOECD Finance & Investment/Insurance & Pensions     Full-text available via subscription   (Followers: 3)
The Geneva Reports     Free   (Followers: 2)
Zeitschrift für die gesamte Versicherungswissenschaft     Hybrid Journal   (Followers: 1)
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Journal Cover
Annals of Actuarial Science
Number of Followers: 2  
  Full-text available via subscription Subscription journal
ISSN (Print) 1748-4995 - ISSN (Online) 1748-5002
Published by Cambridge University Press Homepage  [389 journals]
  • Longevity risk and capital markets: the 2018–19 update
    • Authors: David Blake; Andrew J. G. Cairns
      Pages: 219 - 261
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000202
      Issue No: Vol. 14, No. 2 (2020)
  • Longevity trend risk over limited time horizons
    • Authors: Stephen J. Richards; Iain D. Currie, Torsten Kleinow, Gavin P. Ritchie
      Pages: 262 - 277
      Abstract: We consider various aspects of longevity trend risk viewed through the prism of a finite time window. We show the broad equivalence of value-at-risk (VaR) capital requirements at a p-value of 99.5% to conditional tail expectations (CTEs) at 99%. We also show how deferred annuities have higher risk, which can require double the solvency capital of equivalently aged immediate anuities. However, results vary considerably with the choice of model and so longevity trend-risk capital can only be determined through consideration of multiple models to inform actuarial judgement. This model risk is even starker when trying to value longevity derivatives. We briefly discuss the importance of using smoothed models and describe two methods to considerably shorten VaR and CTE run times.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S174849952000007X
      Issue No: Vol. 14, No. 2 (2020)
  • Asymmetry in mortality volatility and its implications on index-based
           longevity hedging
    • Authors: Kenneth Q. Zhou; Johnny Siu-Hang Li
      Pages: 278 - 301
      Abstract: Mortality volatility is crucially important to many aspects of index-based longevity hedging, including instrument pricing, hedge calibration and hedge performance evaluation. This paper sets out to develop a deeper understanding of mortality volatility and its implications on index-based longevity hedging. First, we study the potential asymmetry in mortality volatility by considering a wide range of generalised autoregressive conditional heteroskedasticity (GARCH)-type models that permit the volatility of mortality improvement to respond differently to positive and negative mortality shocks. We then investigate how the asymmetry of mortality volatility may impact index-based longevity hedging solutions by developing an extended longevity Greeks framework, which encompasses longevity Greeks for a wider range of GARCH-type models, an improved version of longevity vega, and a new longevity Greek known as “dynamic Delta”. Our theoretical work is complemented by two real-data illustrations, the results of which suggest that the effectiveness of an index-based longevity hedge could be significantly impaired if the asymmetry in mortality volatility is not taken into account when the hedge is calibrated.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S174849952000010X
      Issue No: Vol. 14, No. 2 (2020)
  • Optimal portfolio choice with tontines under systematic longevity risk
    • Authors: Irina Gemmo; Ralph Rogalla, Jan-Hendrik Weinert
      Pages: 302 - 315
      Abstract: We derive optimal portfolio choice patterns in retirement (ages 66–105) for a constant relative risk aversion utility maximising investor facing risky capital market returns, stochastic mortality risk, and income-reducing health shocks. Beyond the usual stocks and bonds, the individual can invest his assets in tontines. Tontines are cost-efficient financial contracts providing age-increasing, but volatile cash flows, generated through the pooling of mortality without guarantees, which can help to match increasing financing needs at old ages. We find that a tontine invested in the risk-free asset dominates stock investments for older investors without a bequest motive. However, with a bequest motive, it is optimal to replace the tontine investment over time with traditional financial assets. Our results indicate that early in retirement, a tontine is only an attractive investment option, if the tontine funds are invested in a risky asset. In this case, they crowd out stocks and risk-free bonds in the optimal portfolios of younger investors. Over time, the average optimal portfolio weight of tontines decreases. Introducing systematic mortality risks noticeably reduces the peak allocation to tontines.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000214
      Issue No: Vol. 14, No. 2 (2020)
  • Linking annuity benefits to the longevity experience: alternative
    • Authors: Annamaria Olivieri; Ermanno Pitacco
      Pages: 316 - 337
      Abstract: The uncertainty regarding financial returns and the life expectancy, joint to the reduced social security benefits, increasingly expose individuals to the risk of outliving their post-retirement assets. However, the demand for longevity guarantees remains low, due to high costs. The providers, on their side, may be reluctant to offer non-adjustable longevity guarantees, as the risk is long term and difficult to predict. It is therefore convenient to reconsider the design of longevity guarantees. In particular, a participating structure, providing a link to some longevity experience, could allow a sharing of losses, and possibly profits, resulting in a reduction of the cost of the retained guarantee. The literature review suggests a number of alternatives to define a longevity-linking arrangement, but the topic is not yet completely explored. It is useful, in particular, to have a common framework, under which the various solutions can be interpreted and compared, also with a view to the trade-off between the retained risk and the cost of the guarantee. Developing a general structure describing longevity-linked post-retirement benefits is the main purpose of this paper. Allowing for aggregate longevity risk, we then examine suitable solutions for insurance products.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499519000137
      Issue No: Vol. 14, No. 2 (2020)
  • Variability in pension products: a comparison study between The
           Netherlands and Denmark
    • Authors: Anne G. Balter; Malene Kallestrup-Lamb, Jesper Rangvid
      Pages: 338 - 357
      Abstract: The Danish and the Dutch pension systems are often referred to as “among the best in the world”. We compare pension systems and pension products in Denmark and The Netherlands. We focus on the shifts that have taken place in both countries, from pension products with relatively low levels of risk for the participant to pension products with more risk but also higher expected return. We end by drawing lessons that are relevant for discussions in many countries.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000056
      Issue No: Vol. 14, No. 2 (2020)
  • An investigation into the impact of deprivation on demographic
           inequalities in adults
    • Authors: Les Mayhew; Gillian Harper, Andrés M. Villegas
      Pages: 358 - 383
      Abstract: This research investigates the impact of deprivation on demographic inequalities in England and Wales among adults. Using demographic measures including the modal age at death, life expectancy, lifespan variation and mortality, it shows a negative correlation with deprivation as measured by the 2015 Index of Multiple Deprivation. Although it finds that life expectancy is increasing overall and the gap between men and women is lessening, improvements are slower paced in more deprived areas such that the gap between rich and poor is slowly worsening over time. Men are more adversely impacted by deprivation than women with the gap in period life expectancy at age 30 in 2015 between the top and bottom 1% of deprived neighbourhoods at 10.9 years for men and 8.4 years for women. Between 2001 and 2015 inequalities in male mortality rates at age 44 were 4.4 times greater in the most deprived 10% of neighbourhoods than those in the 10% least deprived and were much higher than in intervening deciles. The worst deprivation is concentrated in specific areas. For example, in 22 out of 326 English districts, 25% or more of neighbourhoods are in the most deprived 10% and in 5 districts it is 40% or above.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000068
      Issue No: Vol. 14, No. 2 (2020)
  • Mortality in the US by education level
    • Authors: Cristian Redondo Lourés; Andrew J. G. Cairns
      Pages: 384 - 419
      Abstract: Different mortality rates for different socio-economic groups within a population have been consistently reported throughout the years. In this study, we aim to exploit data from multiple public sources, including highly detailed cause-of-death data from the United States Centers for Disease Control and Prevention, to explore the mortality gap between the better and worse off in the US during the period 1989–2015, using education as a proxy.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000044
      Issue No: Vol. 14, No. 2 (2020)
  • Mortality data reliability in an internal model
    • Authors: Fabrice Balland; Alexandre Boumezoued, Laurent Devineau, Marine Habart, Tom Popa
      Pages: 420 - 444
      Abstract: In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned with abnormal cohort effects such as those for generations 1919 and 1920, for which the period tables provided by the Human Mortality Database show particularly low and high mortality rates, respectively. To provide corrected tables for the three countries of interest here (France, Italy and West Germany), we use the approach developed by Boumezoued for countries for which the method applies (France and Italy) and provide an extension of the method for West Germany as monthly fertility histories are not sufficient to cover the generations of interest. These mortality tables are crucial inputs to stochastic mortality models forecasting future scenarios, from which the extreme 0.5% longevity improvement can be extracted, allowing for the calculation of the solvency capital requirement. More precisely, to assess the impact of such anomalies in the Solvency II framework, we use a simplified internal model based on three usual stochastic models to project mortality rates in the future combined with a closure table methodology for older ages. Correcting this bias obviously improves the data quality of the mortality inputs, which is of paramount importance today, and slightly decreases the capital requirement. Overall, the longevity risk assessment remains stable, as well as the selection of the stochastic mortality model. As a collateral gain of this data quality improvement, the more regular estimated parameters allow for new insights and a refined assessment regarding longevity risk.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000081
      Issue No: Vol. 14, No. 2 (2020)
  • CBDX: a workhorse mortality model from the Cairns–Blake–Dowd
    • Authors: Kevin Dowd; Andrew J. G. Cairns, David Blake
      Pages: 445 - 460
      Abstract: The purpose of this paper is to identify a workhorse mortality model for the adult age range (i.e., excluding the accident hump and younger ages). It applies the “general procedure” (GP) of Hunt & Blake [(2014), North American Actuarial Journal, 18, 116–138] to identify an age-period model that fits the data well before adding in a cohort effect that captures the residual year-of-birth effects arising in the original age-period model. The resulting model is intended to be suitable for a variety of populations, but economises on the number of period effects in comparison with a full implementation of the GP. We estimate the model using two different iterative maximum likelihood (ML) approaches – one Partial ML and the other Full ML – that avoid the need to specify identifiability constraints.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000159
      Issue No: Vol. 14, No. 2 (2020)
  • Identifiability in age/period mortality models
    • Authors: Andrew Hunt; David Blake
      Pages: 461 - 499
      Abstract: As the field of modelling mortality has grown in recent years, the number and importance of identifiability issues within mortality models has grown in parallel. This has led both to robustness problems and to difficulties in making projections of future mortality rates. In this paper, we present a comprehensive analysis of the identifiability issues in age/period mortality models in order to first understand them better and then to resolve them. To achieve this, we discuss how these identification issues arise, how to choose identification schemes which aid our demographic interpretation of the models and how to project the models so that our forecasts of the future do not depend upon the arbitrary choices used to identify the historical parameters estimated from historical data.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000111
      Issue No: Vol. 14, No. 2 (2020)
  • Identifiability in age/period/cohort mortality models
    • Authors: Andrew Hunt; David Blake
      Pages: 500 - 536
      Abstract: The addition of a set of cohort parameters to a mortality model can generate complex identifiability issues due to the collinearity between the dimensions of age, period and cohort. These issues can lead to robustness problems and difficulties making projections of future mortality rates. Since many modern mortality models incorporate cohort parameters, we believe that a comprehensive analysis of the identifiability issues in age/period/cohort mortality models is needed. In this paper, we discuss the origin of identifiability issues in general models before applying these insights to simple but commonly used mortality models. We then discuss how to project mortality models so that our forecasts of the future are independent of any arbitrary choices we make when fitting a model to data in order to identify the historical parameters.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000123
      Issue No: Vol. 14, No. 2 (2020)
  • Constraints, the identifiability problem and the forecasting of mortality
    • Authors: Iain D. Currie
      Pages: 537 - 566
      Abstract: Models of mortality often require constraints in order that parameters may be estimated uniquely. It is not difficult to find references in the literature to the “identifiability problem”, and papers often give arguments to justify the choice of particular constraint systems designed to deal with this problem. Many of these models are generalised linear models, and it is known that the fitted values (of mortality) in such models are identifiable, i.e., invariant with respect to the choice of constraint systems. We show that for a wide class of forecasting models, namely ARIMA $(p,\delta, q)$ models with a fitted mean and $\delta = 1$ or 2, identifiability extends to the forecast values of mortality; this extended identifiability continues to hold when some model terms are smoothed. The results are illustrated with data on UK males from the Office for National Statistics for the age-period model, the age-period-cohort model, the age-period-cohort-improvements model of the Continuous Mortality Investigation and the Lee–Carter model.
      PubDate: 2020-09-01T00:00:00.000Z
      DOI: 10.1017/S1748499520000020
      Issue No: Vol. 14, No. 2 (2020)
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
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