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Grouped Multivariate and Functional Time Series Forecasting: An Application to Annuity Pricing
Grouped Multivariate and Functional Time Series Forecasting: An Application to Annuity Pricing We apply grouped functional time series forecasting methods to produce point forecasts of mortality ...- Authors: Steven Haberman, Han Lin Shang
- Date: Jul 2017
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Annuities>Pricing - Annuities
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Managing Retirement Assets Symposium: Immediate Annuity Pricing in the Presence of Unobserved Heterogeneity
Managing Retirement Assets Symposium: Immediate Annuity Pricing in the Presence of Unobserved Heterogeneity This paper develops a model of annuity mortality that facilitates a more thorough ...- Authors: Kim Balls
- Date: Apr 2004
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Annuities>Individual annuities; Annuities>Pricing - Annuities
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Excess Spread Approach toPricing and Valuing SPDAs
Excess Spread Approach toPricing and Valuing SPDAs Interest sensitive products including SPDAs can be thought of as spread lending business. The purpose of the paper is to introduce the excess ...- Authors: Mark Griffin
- Date: Oct 1999
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Annuities>Pricing - Annuities; Enterprise Risk Management
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Mortality Compression and Longevity Risk
Mortality Compression and Longevity Risk Presented at the Living to 100 Symposium, January 2011. This study explores increasing life expectancy by examining the basic properties of survival ...- Authors: Ching-Syang Jack Yue
- Date: Jan 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Annuities>Pricing - Annuities; Demography>Longevity; Global Perspectives
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Annuity Valuation with Dependent Mortality
Annuity Valuation with Dependent Mortality This paper investigates the use of models of dependent mortality for determining annuity values. We discuss a broad class of parametric models using a ...- Authors: Jacques F Carriere, Edward Frees, Emiliano Valdez
- Date: May 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Pricing - Annuities; Experience Studies & Data>Mortality; Finance & Investments>Risk measurement - Finance & Investments
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A Study of the Lee-Carter Model with Age-Shifts
A Study of the Lee-Carter Model with Age-Shifts We propose an age-shift model to modify the LC model and deal with the problem of parameters. The proposed method attains smaller estimation errors ...- Authors: Ching-Syang Jack Yue, HONG-CHIH HUANG, Sharon Yang
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Annuities>Pricing - Annuities; Demography>Longevity; Experience Studies & Data>Mortality; Global Perspectives; Pensions & Retirement>Retirement risks
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Certain Limits in the Theory of Annuities
Certain Limits in the Theory of Annuities The article provides a complete and rigorous analysis based on calculus for the topics in the theory of compound interest: the monotone convergence ...- Authors: Constantine Georgakis
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Annuities>Pricing - Annuities; Finance & Investments>Risk measurement - Finance & Investments