Annuity uncertainty with stochastic mortality and interest rates

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<dc:creator>Liu, Xiaoming</dc:creator>
<dc:date>2013-06-03</dc:date>
<dc:description xml:lang="es">Sumario: Risk analysis in actuarial science has shifted its focus from diversifiable risk to systematic risk in the last 20 years or so. This article contributes further in this direction by proposing the concept of annuity rate to take account of systematic risk inherent in annuity products. The annuity rate is the conditional expectation of the annuity¿s future payments, given the future paths of mortality and interest rates. We provide an empirical study to investigate the impact of the two systematic risk factors on the distribution of the annuity rate. In particular, we adopt the Lee-Carter and the Cairns-Blake-Dowd models for mortality risk, and the one-factor and two-factor CIR models for interest risk. Monte Carlo simulation is used to provide numerical illustrations of sensitivity analysis of the annuity rate and of risk assessment of a guaranteed annuity option.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/143916.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Annuity uncertainty with stochastic mortality and interest rates</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/06/2013 Tomo 17 Número 2 - 2013 </dc:relation>
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