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Frailty-based mortality models and reserving for longevity risk

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24510‎$a‎Frailty-based mortality models and reserving for longevity risk‎$c‎Maria Carannante [et al]
520  ‎$a‎For the life insurance industry and pension schemes, mortality projections are critical for accurately managing exposure to longevity risk in terms of both premium setting and reserving. Frailty has been identified as an important latent factor underpinning the evolution of mortality rates. It represents the comorbidities that drive the deterioration of the human body's physiological capacity. In this paper, we propose a stochastic mortality model that incorporates the trend in frailty, and we analyse the gap between the actuarial evaluations of premiums and technical provisions calculated under frailty-based and traditional stochastic mortality models
650 4‎$0‎MAPA20080570590‎$a‎Seguro de vida
650 4‎$0‎MAPA20080592455‎$a‎Planes de pensiones
650 4‎$0‎MAPA20080555016‎$a‎Longevidad
650 4‎$0‎MAPA20210011108‎$a‎Riesgo
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
7730 ‎$w‎MAP20077100215‎$g‎15/04/2024 Volume 49 No. 2 - april 2024. Special Issue , p.320-339‎$x‎1018-5895‎$t‎Geneva papers on risk and insurance : issues and practice‎$d‎Geneva : The Geneva Association, 1976-
856  ‎$u‎https://link.springer.com/article/10.1057/s41288-024-00319-y