IDEAS home Printed from https://ideas.repec.org/p/asb/wpaper/201103.html
   My bibliography  Save this paper

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. Chris Elbers & Geert Ridder, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Oxford University Press, vol. 49(3), pages 403-409.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Longevity risk; mortality heterogeneity; frailty model; Markov ageing model; physiological age; annuity pricing;

    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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Elena Capatina). General contact details of provider: http://edirc.repec.org/data/ceparau.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.