The main issue of the paper is to include the dependency structure in the longevity forecasts, in order to search for a “diversification effect” which could reduce the insurance product cost. We propose how to estimate the dependency premium, by introducing a model which improves the so-called coherent mortality forecasts for groups of populations, which guarantees the necessary and sufficient condition of long term convergence. Actuarial interpretations are given in the empirical applications, which are presented to illustrate our results.
Dependency Premium with multiple population forecasts / D'Amato, Valeria; Haberman, Steven; Piscopo, Gabriella. - (2016). (Intervento presentato al convegno 4th Stochastic Modeling Techniques and Data Analysis International Conference tenutosi a Malta nel 1-4 Giugno 2016).
Dependency Premium with multiple population forecasts
D'Amato, Valeria;Piscopo, Gabriella
2016
Abstract
The main issue of the paper is to include the dependency structure in the longevity forecasts, in order to search for a “diversification effect” which could reduce the insurance product cost. We propose how to estimate the dependency premium, by introducing a model which improves the so-called coherent mortality forecasts for groups of populations, which guarantees the necessary and sufficient condition of long term convergence. Actuarial interpretations are given in the empirical applications, which are presented to illustrate our results.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
