IDEAS home Printed from https://ideas.repec.org/a/aza/rmfi00/y2011v4i3p275-285.html
   My bibliography  Save this article

Modelling longevity risk in practice

Author

Listed:
  • Schiller, Frank
  • Lepschi, Susanne

Abstract

In this paper there is a comparison of different models used in practice for calibrating future developments of mortality rates and a discussion of their key shortfalls and issues. One of the main differences between the models lies in the width of the distribution for the forecast. The results are further compared to the standard model in Solvency II and it is shown that from the perspective of time consistency all models are superior to the standard model.

Suggested Citation

  • Schiller, Frank & Lepschi, Susanne, 2011. "Modelling longevity risk in practice," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 4(3), pages 275-285, June.
    • Handle: RePEc:aza:rmfi00:y:2011:v:4:i:3:p:275-285
    as

    Download full text from publisher

    File URL: https://hstalks.com/article/853/download/
    Download Restriction: Requires a paid subscription for full access.
    File URL: https://hstalks.com/article/853/
    Download Restriction: Requires a paid subscription for full access.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    longevity risk; Lee-Carter model; Bayesian Lee-Carter model; CBD model; Solvency II;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aza:rmfi00:y:2011:v:4:i:3:p:275-285. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Henry Stewart Talks (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.