The paper focuses on the study of hazard mortality rates evolution in time to front the actuarial issue of longevity risk. Whatever hypothesis about future mortality, a correct evaluation of the expected mortality randomness requires the use of a suitable stochastic model. In this context, we first propose a computational tractable approach based on a CIR type stochastic process for modeling the future mortality rates. Then we investigate the impact of adverse effects on the mortality dynamics by a quantile analysis. Numerical applications to the Italian population are discussed.

Longevity risk: a stochastic dynamic approach / Coppola, Mariarosaria; DI LORENZO, Giovanna; Orlando, A.; Politano, Massimiliano. - (2011). (Intervento presentato al convegno XIV ASMDA CONFERENCE tenutosi a Roma nel 7-10 giugno 2011).

Longevity risk: a stochastic dynamic approach

COPPOLA, MARIAROSARIA;DI LORENZO, GIOVANNA;POLITANO, MASSIMILIANO
2011

Abstract

The paper focuses on the study of hazard mortality rates evolution in time to front the actuarial issue of longevity risk. Whatever hypothesis about future mortality, a correct evaluation of the expected mortality randomness requires the use of a suitable stochastic model. In this context, we first propose a computational tractable approach based on a CIR type stochastic process for modeling the future mortality rates. Then we investigate the impact of adverse effects on the mortality dynamics by a quantile analysis. Numerical applications to the Italian population are discussed.
2011
Longevity risk: a stochastic dynamic approach / Coppola, Mariarosaria; DI LORENZO, Giovanna; Orlando, A.; Politano, Massimiliano. - (2011). (Intervento presentato al convegno XIV ASMDA CONFERENCE tenutosi a Roma nel 7-10 giugno 2011).
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/458779
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