Centro de Documentacion de Fundación MAPFRE - Frailty-based mortality models and reserving for longevity risk

Notas: Sumario: 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 modelsRegistros relacionados: En: Geneva papers on risk and insurance : issues and practice. - Geneva : The Geneva Association, 1976- = ISSN 1018-5895. - 15/04/2024 Volumen 49 Número 2 - abril 2024 , p.320-339Materia / lugar / evento: Seguro de vida Planes de pensiones Longevidad Riesgo Mortalidad Otras clasificaciones: 341

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