Mortality modeling with non-gaussian innovations and applications to the valuation of longevity swaps

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      <subfield code="a">Wang, Chou-Wen</subfield>
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      <subfield code="a">Mortality modeling with non-gaussian innovations and applications to the valuation of longevity swaps</subfield>
      <subfield code="c">Chou-Wen Wang, Hong-Chih Huang, Chien Liu</subfield>
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      <subfield code="a">This article provides an iterative fitting algorithm to generate maximum likelihood estimates under the Cox regression model and employs non-Gaussian distributionsthe jump diffusion (JD), variance gamma (VG), and normal inverse Gaussian (NIG) distributionsto model the error terms of the Renshaw and Haberman () (RH) model. In terms of mean absolute percentage error, the RH model with non-Gaussian innovations provides better mortality projections, using 19002009 mortality data from England and Wales, France, and Italy. Finally, the lower hedge costs of longevity swaps according to the RH model with non-Gaussian innovations are not only based on the lower swap curves implied by the best prediction model, but also in terms of the fatter tails of the unexpected losses it generates.</subfield>
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      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">02/09/2013 Volumen 80 Número 3 - septiembre 2013 </subfield>
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