IDEAS home Printed from https://ideas.repec.org/p/asb/wpaper/201103.html

Heterogeneity of Australian Population Mortality and Implications for a Viable Life Annuity Market

Author

Listed:
  • Shu Su

    (Australian School of Business, University of New South Wales)

  • Michael Sherris

    (School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales)

Abstract

Heterogeneity in mortality rates is known to exist in populations, undermining the use of age and sex as the only rating factors for life insurance and annuity products. Life insurers underwrite life products using a variety of rating factors to allow for this heterogeneity. In the case of life annuities, there is limited underwriting used. Life insurers rely on an assumption that lives will self select and price the longevity risk with an annuity mortality table that assumes above average longevity.

Suggested Citation

  • Shu Su & Michael Sherris, 2011. "Heterogeneity of Australian Population Mortality and Implications for a Viable Life Annuity Market," Working Papers 201103, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
    • Handle: RePEc:asb:wpaper:201103
    as

    Download full text from publisher

    File URL: http://cepar.edu.au/media/48691/Heterogeneity%20of%20Australian%20Population%20Mortality.pdf
    File Function: First version, 2011
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Kenneth Manton & Eric Stallard & James Vaupel, 1981. "Methods For Comparing The Mortality Experience of Heterogeneous Populations," Demography, Springer;Population Association of America (PAA), vol. 18(3), pages 389-410, August.
    2. X. Lin & Xiaoming Liu, 2007. "Markov Aging Process and Phase-Type Law of Mortality," North American Actuarial Journal, Taylor & Francis Journals, vol. 11(4), pages 92-109.
    3. James Vaupel & Kenneth Manton & Eric Stallard, 1979. "The impact of heterogeneity in individual frailty on the dynamics of mortality," Demography, Springer;Population Association of America (PAA), vol. 16(3), pages 439-454, August.
    4. Chris Elbers & Geert Ridder, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 49(3), pages 403-409.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Su, Shu & Sherris, Michael, 2012. "Heterogeneity of Australian population mortality and implications for a viable life annuity market," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 322-332.
    2. James W. Vaupel & Trifon Missov, 2014. "Unobserved population heterogeneity," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 31(22), pages 659-686.
    3. Yashin, Anatoli I. & Arbeev, Konstantin G. & Akushevich, Igor & Kulminski, Alexander & Akushevich, Lucy & Ukraintseva, Svetlana V., 2008. "Model of hidden heterogeneity in longitudinal data," Theoretical Population Biology, Elsevier, vol. 73(1), pages 1-10.
    4. Carlos Díaz-Venegas, 2014. "Identifying the Confounders of Marginalization and Mortality in Mexico, 2003–2007," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 118(2), pages 851-875, September.
    5. Annamaria Olivieri & Ermanno Pitacco, 2016. "Frailty and Risk Classification for Life Annuity Portfolios," Risks, MDPI, vol. 4(4), pages 1-23, October.
    6. Mette Gerster & Lisbeth B. Knudsen & Niels Keiding & Katrine Strandberg-Larsen, 2007. "Education and second birth rates in Denmark 1981-1994," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 17(8), pages 181-210.
    7. Hartemink, Nienke & Missov, Trifon I. & Caswell, Hal, 2017. "Stochasticity, heterogeneity, and variance in longevity in human populations," Theoretical Population Biology, Elsevier, vol. 114(C), pages 107-116.
    8. Wienke, Andreas & Kuss, Oliver, 2009. "Random effects Weibull regression model for occupational lifetime," European Journal of Operational Research, Elsevier, vol. 196(3), pages 1249-1250, August.
    9. Hui Zheng & Y. Claire Yang & Kenneth C. Land, 2016. "Age-Specific Variation in Adult Mortality Rates in Developed Countries," Population Research and Policy Review, Springer;Southern Demographic Association (SDA), vol. 35(1), pages 49-71, February.
    10. Virginia Zarulli, 2016. "Unobserved Heterogeneity of Frailty in the Analysis of Socioeconomic Differences in Health and Mortality," European Journal of Population, Springer;European Association for Population Studies, vol. 32(1), pages 55-72, February.
    11. Missov, Trifon I. & Finkelstein, Maxim, 2011. "Admissible mixing distributions for a general class of mixture survival models with known asymptotics," Theoretical Population Biology, Elsevier, vol. 80(1), pages 64-70.
    12. Govert Ewout Bijwaard, 2014. "Multistate event history analysis with frailty," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 30(58), pages 1591-1620.
    13. Meyricke, Ramona & Sherris, Michael, 2013. "The determinants of mortality heterogeneity and implications for pricing annuities," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 379-387.
    14. Andreas Wienke & Paul Lichtenstein & Anatoli I. Yashin, 2003. "Unobserved heterogeneity in a model with cure fraction applied to breast cancer," MPIDR Working Papers WP-2003-010, Max Planck Institute for Demographic Research, Rostock, Germany.
    15. George Kephart, 1988. "Heterogeneity and the implied dynamics of regional growth rates: Was the nonmetropolitan turnaround an artifact of aggregation?," Demography, Springer;Population Association of America (PAA), vol. 25(1), pages 99-113, February.
    16. Bijwaard, Govert, 2011. "Unobserved Heterogeneity in Multiple-Spell Multiple-States Duration Models," IZA Discussion Papers 5748, Institute of Labor Economics (IZA).
    17. Roozbeh Hosseini, 2015. "Adverse Selection in the Annuity Market and the Role for Social Security," Journal of Political Economy, University of Chicago Press, vol. 123(4), pages 941-984.
    18. James Trussell & Charles Hammerslough, 1983. "A hazards-Model analysis of the covariates of infant and child mortality in Sri Lanka," Demography, Springer;Population Association of America (PAA), vol. 20(1), pages 1-26, February.
    19. Haghani, Shermineh, 2014. "Modeling hedge fund lifetimes: A dependent competing risks framework with latent exit types," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 291-320.
    20. Adriaan Kalwij, 2014. "An empirical analysis of the importance of controlling for unobserved heterogeneity when estimating the income-mortality gradient," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 31(30), pages 913-940.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

    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:asb:wpaper:201103. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Elena Capatina The email address of this maintainer does not seem to be valid anymore. Please ask Elena Capatina to update the entry or send us the correct address (email available below). General contact details of provider: https://edirc.repec.org/data/ceparau.html .

    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.