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008    200713s2009    xx      o     ||||0 eng d 
020    9780191563157|q(electronic bk.) 
020    |z9780199547272 
035    (MiAaPQ)EBC415542 
035    (Au-PeEL)EBL415542 
035    (CaPaEBR)ebr10288305 
035    (CaONFJC)MIL198550 
035    (OCoLC)437093889 
040    MiAaPQ|beng|erda|epn|cMiAaPQ|dMiAaPQ 
050  4 HG8781.M627 2009 
082 0  368.3201512 
100 1  Pitacco, Ermanno 
245 10 Modelling Longevity Dynamics for Pensions and Annuity 
       Business 
264  1 Oxford :|bOxford University Press, Incorporated,|c2009 
264  4 |c©2009 
300    1 online resource (416 pages) 
336    text|btxt|2rdacontent 
337    computer|bc|2rdamedia 
338    online resource|bcr|2rdacarrier 
505 0  Intro -- Contents -- Preface -- 1 Life annuities -- 1.1 
       Introduction -- 1.2 Annuities-certain versus life 
       annuities -- 1.2.1 Withdrawing from a fund -- 1.2.2 
       Avoiding early fund exhaustion -- 1.2.3 Risks in annuities
       -certain and in life annuities -- 1.3 Evaluating life 
       annuities: deterministic approach -- 1.3.1 The life 
       annuity as a financial transaction -- 1.3.2 Actuarial 
       values -- 1.3.3 Technical bases -- 1.4 Cross-subsidy in 
       life annuities -- 1.4.1 Mutuality -- 1.4.2 Solidarity -- 
       1.4.3 'Tontine' annuities -- 1.5 Evaluating life annuities
       : stochastic approach -- 1.5.1 The random present value of
       a life annuity -- 1.5.2 Focussing on portfolio results -- 
       1.5.3 A first insight into risk and solvency -- 1.5.4 
       Allowing for uncertainty in mortality assumptions -- 1.6 
       Types of life annuities -- 1.6.1 Immediate annuities 
       versus deferred annuities -- 1.6.2 The accumulation period
       -- 1.6.3 The decumulation period -- 1.6.4 The payment 
       profile -- 1.6.5 About annuity rates -- 1.6.6 Variable 
       annuities and GMxB features -- 1.7 References and 
       suggestions for further reading -- 2 The basic mortality 
       model -- 2.1 Introduction -- 2.2 Life tables -- 2.2.1 
       Cohort tables and period tables -- 2.2.2 'Population' 
       tables versus 'market' tables -- 2.2.3 The life table as a
       probabilistic model -- 2.2.4 Select mortality -- 2.3 
       Moving to an age-continuous context -- 2.3.1 The survival 
       function -- 2.3.2 Other related functions -- 2.3.3 The 
       force of mortality -- 2.3.4 The central death rate -- 
       2.3.5 Assumptions for non-integer ages -- 2.4 Summarizing 
       the lifetime probability distribution -- 2.4.1 The life 
       expectancy -- 2.4.2 Other markers -- 2.4.3 Markers under a
       dynamic perspective -- 2.5 Mortality laws -- 2.5.1 Laws 
       for the force of mortality -- 2.5.2 Laws for the annual 
       probability of death -- 2.5.3 Mortality by causes -- 2.6 
       Non-parametric graduation 
505 8  2.6.1 Some preliminary ideas -- 2.6.2 The Whittaker-
       Henderson model -- 2.6.3 Splines -- 2.7 Some transforms of
       the survival function -- 2.8 Mortality at very old ages --
       2.8.1 Some preliminary ideas -- 2.8.2 Models for mortality
       at highest ages -- 2.9 Heterogeneity in mortality models -
       - 2.9.1 Observable heterogeneity factors -- 2.9.2 Models 
       for differential mortality -- 2.9.3 Unobservable 
       heterogeneity factors. The frailty -- 2.9.4 Frailty models
       -- 2.9.5 Combining mortality laws with frailty models -- 
       2.10 References and suggestions for further reading -- 3 
       Mortality trends during the 20th century -- 3.1 
       Introduction -- 3.2 Data sources -- 3.2.1 Statistics 
       Belgium -- 3.2.2 Federal Planning Bureau -- 3.2.3 Human 
       mortality database -- 3.2.4 Banking, Finance, and 
       Insurance Commission -- 3.3 Mortality trends in the 
       general population -- 3.3.1 Age-period life tables -- 
       3.3.2 Exposure-to-risk -- 3.3.3 Death rates -- 3.3.4 
       Mortality surfaces -- 3.3.5 Closure of life tables -- 
       3.3.6 Rectangularization and expansion -- 3.3.7 Life 
       expectancies -- 3.3.8 Variability -- 3.3.9 Heterogeneity -
       - 3.4 Life insurance market -- 3.4.1 Observed death rates 
       -- 3.4.2 Smoothed death rates -- 3.4.3 Life expectancies -
       - 3.4.4 Relational models -- 3.4.5 Age shifts -- 3.5 
       Mortality trends throughout EU -- 3.6 Conclusions -- 4 
       Forecasting mortality: an introduction -- 4.1 Introduction
       -- 4.2 A dynamic approach to mortality modelling -- 4.2.1 
       Representing mortality dynamics: single-figures versus age
       -specific functions -- 4.2.2 A discrete, age-specific 
       setting -- 4.3 Projection by extrapolation of annual 
       probabilities of death -- 4.3.1 Some preliminary ideas -- 
       4.3.2 Reduction factors -- 4.3.3 The exponential formula -
       - 4.3.4 An alternative approach to the exponential 
       extrapolation -- 4.3.5 Generalizing the exponential 
       formula -- 4.3.6 Implementing the exponential formula 
505 8  4.3.7 A general exponential formula -- 4.3.8 Some 
       exponential formulae used in actuarial practice -- 4.3.9 
       Other projection formulae -- 4.4 Using a projected table -
       - 4.4.1 The cohort tables in a projected table -- 4.4.2 
       From a double-entry to a single-entry projected table -- 
       4.4.3 Age shifting -- 4.5 Projecting mortality in a 
       parametric context -- 4.5.1 Mortality laws and projections
       -- 4.5.2 Expressing mortality trends via Weibull's 
       parameters -- 4.5.3 Some remarks -- 4.5.4 Mortality 
       graduation over age and time -- 4.6 Other approaches to 
       mortality projections -- 4.6.1 Interpolation versus 
       extrapolation: the limit table -- 4.6.2 Model tables -- 
       4.6.3 Projecting transforms of life table functions -- 4.7
       The Lee-Carter method: an introduction -- 4.7.1 Some 
       preliminary ideas -- 4.7.2 The LC model -- 4.7.3 From LC 
       to the Poisson log-bilinear model -- 4.7.4 The LC method 
       and model tables -- 4.8 Further issues -- 4.8.1 Cohort 
       approach versus period approach. APC models -- 4.8.2 
       Projections and scenarios. Mortality by causes -- 4.9 
       References and suggestions for further reading -- 4.9.1 
       Landmarks in mortality projections -- 4.9.2 Further 
       references -- 5 Forecasting mortality: applications and 
       examples of age-period models -- 5.1 Introduction -- 5.2 
       Lee-Carter mortality projection model -- 5.2.1 
       Specification -- 5.2.2 Calibration -- 5.2.3 Application to
       Belgian mortality statistics -- 5.3 Cairns-Blake-Dowd 
       mortality projection model -- 5.3.1 Specification -- 5.3.2
       Calibration -- 5.3.3 Application to Belgian mortality 
       statistics -- 5.4 Smoothing -- 5.4.1 Motivation -- 5.4.2 P
       -splines approach -- 5.4.3 Smoothing in the Lee-Carter 
       model -- 5.4.4 Application to Belgian mortality statistics
       -- 5.5 Selection of an optimal calibration period -- 5.5.1
       Motivation -- 5.5.2 Selection procedure -- 5.5.3 
       Application to Belgian mortality statistics 
505 8  5.6 Analysis of residuals -- 5.6.1 Deviance and Pearson 
       residuals -- 5.6.2 Application to Belgian mortality 
       statistics -- 5.7 Mortality projection -- 5.7.1 Time 
       series modelling for the time indices -- 5.7.2 Modelling 
       of the Lee-Carter time index -- 5.7.3 Modelling the Cairns
       -Blake-Dowd time indices -- 5.8 Prediction intervals -- 
       5.8.1 Why bootstrapping? -- 5.8.2 Bootstrap percentiles 
       confidence intervals -- 5.8.3 Application to Belgian 
       mortality statistics -- 5.9 Forecasting life expectancies 
       -- 5.9.1 Official projections performed by the Belgian 
       Federal Planning Bureau (FPB) -- 5.9.2 Andreev-Vaupel 
       projections -- 5.9.3 Application to Belgian mortality 
       statistics -- 5.9.4 Longevity fan charts -- 5.9.5 Back 
       testing -- 6 Forecasting mortality: applications and 
       examples of age-period-cohort models -- 6.1 Introduction -
       - 6.2 LC age-period-cohort mortality projection model -- 
       6.2.1 Model structure -- 6.2.2 Error structure and model 
       fitting -- 6.2.3 Mortality rate projections -- 6.2.4 
       Discussion -- 6.3 Application to United Kingdom mortality 
       data -- 6.4 Cairns-Blake-Dowd mortality projection model: 
       allowing for cohort effects -- 6.5 P-splines model: 
       allowing for cohort effects -- 7 The longevity risk: 
       actuarial perspectives -- 7.1 Introduction -- 7.2 The 
       longevity risk -- 7.2.1 Mortality risks -- 7.2.2 
       Representing longevity risk: stochastic modelling issues -
       - 7.2.3 Representing longevity risk: some examples -- 
       7.2.4 Measuring longevity risk in a static framework -- 
       7.3 Managing the longevity risk -- 7.3.1 A risk management
       perspective -- 7.3.2 Natural hedging -- 7.3.3 Solvency 
       issues -- 7.3.4 Reinsurance arrangements -- 7.4 
       Alternative risk transfers -- 7.4.1 Life insurance 
       securitization -- 7.4.2 Mortality-linked securities -- 
       7.4.3 Hedging life annuity liabilities through longevity 
       bonds -- 7.5 Life annuities and longevity risk 
505 8  7.5.1 The location of mortality risks in traditional life 
       annuity products -- 7.5.2 GAO and GAR -- 7.5.3 Adding 
       FIexibility to GAR products -- 7.6 Allowing for longevity 
       risk in pricing -- 7.7 Financing post-retirement income --
       7.7.1 Comparing life annuity prices -- 7.7.2 Life 
       annuities versus income drawdown -- 7.7.3 The 'mortality 
       drag' -- 7.7.4 Flexibility in FInancing post-retirement 
       income -- 7.8 References and suggestions for further 
       reading -- References -- Index -- A -- B -- C -- D -- E --
       F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- R -
       - S -- T -- U -- V -- W -- X -- Y 
520    A text aimed at researchers and postgraduates actuarial 
       science, statistics, and actuarial mathematics providing a
       comprehensive and detailed description of statistical 
       methods for projecting mortality, and an extensive 
       discussion of some important issues concerning the 
       longevity risk in the area of life annuities and pension 
       benefits 
588    Description based on publisher supplied metadata and other
       sources 
590    Electronic reproduction. Ann Arbor, Michigan : ProQuest 
       Ebook Central, 2020. Available via World Wide Web. Access 
       may be limited to ProQuest Ebook Central affiliated 
       libraries 
650  0 Life insurance -- Mathematics.;Mortality -- Tables 
655  4 Electronic books 
700 1  Denuit, Michel 
700 1  Haberman, Steven 
700 1  Olivieri, Annamaria 
776 08 |iPrint version:|aPitacco, Ermanno|tModelling Longevity 
       Dynamics for Pensions and Annuity Business|dOxford : 
       Oxford University Press, Incorporated,c2009|z9780199547272
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