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Mortality compression and longevity risk

Coleção: Artigos
Título: Mortality compression and longevity risk / Jack C. YueAutor: Yue, Jack C.
Notas: Sumario: In this study, we explore the increasing life expectancy by examining the basic properties of survival curves. Specifically, we check if there are signs of mortality compression (i.e., rectangularization of the survival curve) and evaluate what it means to designing annuity products. Based on the raw mortality rates, we propose an approach to verify if there is mortality compression. We then apply the proposed method to the mortality rates of Japan, Sweden and the United States (data source: Human Mortality Database). Unlike the previous results using the graduated mortality rates, we found there are no obvious signs that mortality improvements are slowing down. This indicates that human longevity is likely to increase and longevity risk should be seriously considered in pricing annuity products.Registros relacionados: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 03/12/2012 Tomo 16 Número 4 - 2012 Outras classificações: 1
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