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Frailty-based mortality models and reserving for longevity risk

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      <subfield code="a">Frailty-based mortality models and reserving for longevity risk</subfield>
      <subfield code="c">Maria Carannante [et al]</subfield>
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      <subfield code="a">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</subfield>
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      <subfield code="g">15/04/2024 Volume 49 No. 2 - april 2024. Special Issue , p.320-339</subfield>
      <subfield code="x">1018-5895</subfield>
      <subfield code="t">Geneva papers on risk and insurance : issues and practice</subfield>
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      <subfield code="u">https://link.springer.com/article/10.1057/s41288-024-00319-y</subfield>
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