Correlated age-specific mortality model: an application to annuity portfolio management

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      <subfield code="a">Correlated age-specific mortality model: an application to annuity portfolio management</subfield>
      <subfield code="c">Tzuling Lin, Chou-Wen Wang, Cary Chi-Liang Tsai</subfield>
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      <subfield code="a">This article models the dynamics of age-specific incremental mortality as a stochastic process in which the drift rate can be simply and effectively modeled as the average annual improvement rate of a group time trend for all ages and the distribution of residuals can be fitted by one of the Gaussian distribution and four non-Gaussian distributions (Student t, jump diffusion, variance gamma, and normal inverse Gaussian). We use the one-factor copula model with six distributions for the factors (normalnormal, normalStudent t, Student tnormal, Student tStudent t, skewed tnormal, and skewed tStudent t) to capture the inter-age mortality dependence. We then construct three annuity portfolios (Barbell, Ladder, and Bullet) with equal portfolio value (total net single premium) and portfolio mortality duration but different portfolio mortality convexities. Finally, we apply our model to managing longevity risk by an approximation to the change in the portfolio value in response to a proportional or constant change in the force of mortality, and by estimating Value at Risk for the three annuity portfolios</subfield>
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      <subfield code="a">Mortalidad</subfield>
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      <subfield code="a">Wang, Chou-Wen</subfield>
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      <subfield code="a">Tsai, Chi-Liang</subfield>
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      <subfield code="g">06/12/2021 Número 2 - diciembre 2021 , p. 413-440</subfield>
      <subfield code="t">European Actuarial Journal</subfield>
      <subfield code="d">Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</subfield>
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