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An index for longevity risk transfer

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Denuit, Michel [UCL]

This paper discusses the choice of an appropriate longevity index to track the improvements in mortality in industrialized countries. Period life expectancies computed from national life tables turn out to be efficient in this context. A detailed analysis of the predictive distribution of this longevity index is performed in the Lee-Carter model where the period life expectancy is just a functional of the underlying time index. (C) 2008 Elsevier B.V. All rights reserved.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2009
Language Anglais
Journal information "Journal of Computational and Applied Mathematics" - Vol. 230, no. 2, p. 411-417 (2009)
Peer reviewed yes
Publisher Elsevier Science Bv (Amsterdam)
issn 0377-0427
Publication status Publié
Affiliation UCL
Keywords Mortality projection ; Predictive distribution ; Longevity risk ; Securitization
Links
Bibliographic reference Denuit, Michel. An index for longevity risk transfer. In: Journal of Computational and Applied Mathematics, Vol. 230, no. 2, p. 411-417 (2009)
Permanent URL http://hdl.handle.net/2078.1/35499