Frailty-based mortality models and reserving for longevity risk

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<title>Frailty-based mortality models and reserving for longevity risk</title>
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<dateIssued encoding="marc">2024</dateIssued>
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<abstract displayLabel="Summary">For 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</abstract>
<note type="statement of responsibility">Maria Carannante [et al]</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570590">
<topic>Seguro de vida</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592455">
<topic>Planes de pensiones</topic>
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<topic>Longevidad</topic>
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<topic>Riesgo</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555306">
<topic>Mortalidad</topic>
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<url displayLabel="electronic resource" usage="primary display">https://link.springer.com/article/10.1057/s41288-024-00319-y</url>
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<title>Geneva papers on risk and insurance : issues and practice</title>
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<publisher>Geneva : The Geneva Association, 1976-</publisher>
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<identifier type="issn">1018-5895</identifier>
<identifier type="local">MAP20077100215</identifier>
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<text>15/04/2024 Volume 49 No. 2 - april 2024. Special Issue , p.320-339</text>
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