预测极端老年死亡率和评估死亡率相关金融工具的简单方法

Real property, probate, and trust journal Pub Date : 2019-12-01 DOI:10.2139/ssrn.3552230

K. Dowd, A. Cairns, D. Blake

{"title":"预测极端老年死亡率和评估死亡率相关金融工具的简单方法","authors":"K. Dowd, A. Cairns, D. Blake","doi":"10.2139/ssrn.3552230","DOIUrl":null,"url":null,"abstract":"This article shows how mortality models that involve age effects can be fitted to ages beyond the sample range using projections of age effects as replacements for age effects that might not be in the sample. This ‘projected age effect’ approach allows insurers to use age-effect mortality models to obtain valuations of financial instruments such as annuities that depend on projections of extreme old age","PeriodicalId":82443,"journal":{"name":"Real property, probate, and trust journal","volume":"30 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A Simple Approach to Project Extreme Old Age Mortality Rates and Value Mortality-Related Financial Instruments\",\"authors\":\"K. Dowd, A. Cairns, D. Blake\",\"doi\":\"10.2139/ssrn.3552230\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article shows how mortality models that involve age effects can be fitted to ages beyond the sample range using projections of age effects as replacements for age effects that might not be in the sample. This ‘projected age effect’ approach allows insurers to use age-effect mortality models to obtain valuations of financial instruments such as annuities that depend on projections of extreme old age\",\"PeriodicalId\":82443,\"journal\":{\"name\":\"Real property, probate, and trust journal\",\"volume\":\"30 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Real property, probate, and trust journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3552230\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Real property, probate, and trust journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3552230","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 1

摘要

本文展示了涉及年龄影响的死亡率模型如何使用年龄影响的预测来替代样本中可能不存在的年龄影响，以适应样本范围以外的年龄。这种“预计年龄效应”方法允许保险公司使用年龄效应死亡率模型来获得金融工具的估值，例如依赖于极端老年预测的年金

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

A Simple Approach to Project Extreme Old Age Mortality Rates and Value Mortality-Related Financial Instruments

This article shows how mortality models that involve age effects can be fitted to ages beyond the sample range using projections of age effects as replacements for age effects that might not be in the sample. This ‘projected age effect’ approach allows insurers to use age-effect mortality models to obtain valuations of financial instruments such as annuities that depend on projections of extreme old age

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Real property, probate, and trust journal

自引率

0.00%

发文量