Description: This paper investigates the use of models of dependent mortality for determining annuity values. We discuss a broad class of parametric models using a bivariate survivorship function called a copula. Using data from a large insurance company to illustrate our methods, we calculate maximum likelihood estimates to calibrate the rnodel.

Description: The values of life insurance and annuity liabilities move in opposite directions in response to a change in the underlying mortality. Natural hedging utilizes this to stabilize aggregate liability cash flows. Our study shows empirical evidence that insurers who utilize natural hedging also charge lower premiums than otherwise similar insurers. This indicates that insurers who are able to utilize natural hedging have a competitive advantage. In addition, we show how a mortality swap might be used to provide the benefits of natural hedging to a firm that writes only one of the lines of business.

Description: The Lee and Carter LC method is getting widely adopted for long-run forecasts of age specific mortality rates. That popularity is first due to the model simplicity. Moreover, the LC model has given successful results for various countries e.g. U.S., Chile, G7 countries. However, some difficulties arose when using population data from certain countries such as UK and Australia. In the present paper, the LC model is applied to data from four Nordic countries: Denmark, Finland, Norway and Sweden. The Singular Value Decomposition SVD, the Weighted Least Square WLS and the Maximum Likelihood estimate MLE are used. These approaches give satisfactory results. The appropriate fitting period needs, however, to be well chosen. The properties of the model's parameters are studied using a bootstrap simulation.

Description: Securitization of mortality risks is an alternative risk management tool that may have some advantages over reinsurance. The purpose of this paper is to study mortality-based securities, such as swaps and mortality bonds, and to price the proposed mortality securities. We focus on group life annuity data, although the techniques could be applied to other lines of annuity or life insurance.

Description: There are three commonly used methods for compiling exposure and death data for use in obtaining crude mortality rates. They are lives, policies and amounts of insurance. This paper investigates the properties of estimators based on lives, amounts and robust alternatives. It is concluded that lives provide the best estimator, even when there is a moderate dependence of mortality rates on amounts of insurance. Presented at the Fourteenth Actuarial Research Conference, lowa City, lowa, September 6, 1979.

Description: This paper presents the modeling of mortality risk from exposure to a potential future extreme event such as a natural disaster and a terrorist attack, and its impact on life insurance. With this new model, quantities associated with the total force of mortality such as survival function are derived and the impact of mortality risk on life insurance is examined.

Description: We employ a framework for the classification of mortality evolution patterns to HMD data. We find both supra-regional patterns and outliers from global trends.

Description: In this paper we shall present our results in terms of the estimation of human mortality rates, but the results carry over to other applications. We shall discuss a Bayesian model that encompasses both graduation [smoothing] and prediction.

Description: The purpose of this paper is to introduce the use of least squares for estimating parameters of mortality curves and discuss the advantages of this method.

Description: We employ a framework for the classification of mortality evolution patterns to HMD data. We find both supra-regional patterns and outliers from global trends.