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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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  • Khalaf-Allah, M. & Haberman, S. & Verrall, R., 2006. "Measuring the effect of mortality improvements on the cost of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 231-249, October.
    • Handle: RePEc:eee:insuma:v:39:y:2006:i:2:p:231-249
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    References listed on IDEAS

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    1. Sithole, Terry Z. & Haberman, Steven & Verrall, Richard J., 2000. "An investigation into parametric models for mortality projections, with applications to immediate annuitants' and life office pensioners' data," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 285-312, December.
    2. Willets, R. C. & Gallop, A. P. & Leandro, P. A. & Lu, J. L. C. & Macdonald, A. S. & Miller, K. A. & Richards, S. J. & Robjohns, N. & Ryan, J. P. & Waters, H. R., 2004. "Longevity in the 21st Century," British Actuarial Journal, Cambridge University Press, vol. 10(4), pages 685-832, October.
    3. Carlos Wong-Fupuy & Steven Haberman, 2004. "Projecting Mortality Trends," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(2), pages 56-83.
    4. Olivieri, Annamaria, 2001. "Uncertainty in mortality projections: an actuarial perspective," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 231-245, October.
    5. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 279-298, October.
    6. Ballotta, Laura & Haberman, Steven, 2003. "Valuation of guaranteed annuity conversion options," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 87-108, August.
    7. Amy Finkelstein & James Poterba, 2002. "Selection Effects in the United Kingdom Individual Annuities Market," Economic Journal, Royal Economic Society, vol. 112(476), pages 28-50, January.
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    1. D’Amato, Valeria & Di Lorenzo, Emilia & Haberman, Steven & Sagoo, Pretty & Sibillo, Marilena, 2018. "De-risking strategy: Longevity spread buy-in," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 124-136.
    2. Ahmadi, Seyed Saeed & Li, Johnny Siu-Hang, 2014. "Coherent mortality forecasting with generalized linear models: A modified time-transformation approach," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 194-221.
    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, vol. 42(2), pages 680-690, April.
    4. Haberman, Steven & Khalaf-Allah, Marwa & Verrall, Richard, 2011. "Entropy, longevity and the cost of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 197-204, March.
    5. Christiansen, Marcus C., 2008. "A sensitivity analysis of typical life insurance contracts with respect to the technical basis," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 787-796, April.
    6. Kulinskaya, Elena & Gitsels, Lisanne A. & Bakbergenuly, Ilyas & Wright, Nigel R., 2020. "Calculation of changes in life expectancy based on proportional hazards model of an intervention," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 27-35.

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