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Measuring the effect of mortality improvements on the cost of annuities

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  • Khalaf-Allah, M.
  • Haberman, S.
  • Verrall, R.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4JMVHGV-1/2/6b0c29a42ab1f59bbd873771bc15b6d1
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 39 (2006)
    Issue (Month): 2 (October)
    Pages: 231-249

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    Handle: RePEc:eee:insuma:v:39:y:2006:i:2:p:231-249

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    Web page: http://www.elsevier.com/locate/inca/505554

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    References

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    1. Ballotta, Laura & Haberman, Steven, 2003. "Valuation of guaranteed annuity conversion options," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 33(1), pages 87-108, August.
    2. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 35(2), pages 279-298, October.
    3. Olivieri, Annamaria, 2001. "Uncertainty in mortality projections: an actuarial perspective," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 29(2), pages 231-245, October.
    4. Amy Finkelstein & James Poterba, 2002. "Selection Effects in the United Kingdom Individual Annuities Market," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 112(476), pages 28-50, January.
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    Cited by:
    1. Christiansen, Marcus C., 2008. "A sensitivity analysis of typical life insurance contracts with respect to the technical basis," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 787-796, April.
    2. Haberman, Steven & Khalaf-Allah, Marwa & Verrall, Richard, 2011. "Entropy, longevity and the cost of annuities," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 48(2), pages 197-204, March.
    3. Christiansen, Marcus C., 2008. "A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 680-690, April.

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