Wow! eBook
Modelling Longevity Dynamics for Pensions and Annuity Business
Author(s): Ermanno Pitacco (Author), Michel Denuit (Author), Steven Haberman (Author), Annamaria Olivieri (Author)
- Publisher: OUP Oxford
- Publication Date: 29 Jan. 2009
- Edition: Illustrated
- Language: English
- Print length: 416 pages
- ISBN-10: 0199547270
- ISBN-13: 9780199547272
Book Description
Great attention is currently being devoted to the management of life annuity portfolios, both from a theoretical and a practical point of view, because of the growing importance of annuity benefits paid by private pension schemes. In particular, the progressive shift from defined benefit to defined contribution pension schemes has increased the interest in life annuities with a guaranteed annual amount.
This book provides a comprehensive and detailed description of methods for projecting mortality, and an extensive introduction to some important issues concerning longevity risk in the area of life annuities and pension benefits. It relies on research work carried out by the authors, as well as on a wide teaching experience and in CPD (Continuing Professional Development) initiatives. The following topics are dealt with: life annuities in the framework of post-retirement income strategies; the basic mortality model; recent mortality trends that have been experienced; general features of projection models; discussion of stochastic projection models, with numerical illustrations; measuring and managing longevity risk.
Editorial Reviews
Review
About the Author
Michel Denuit is Professor of Statistics and Actuarial Mathematics, Université Catholique de Louvain. He was a founding member of the Belgian Actuarial Bulletin. He is also Proceedings Editor for Insurance: Mathematics and Economics, Editor for ASTIN Bulletin, Associate Editor, Methodology and Computing in Applied Probability, Member of the Advisory Board for the Wiley Encyclopedia of Actuarial Science, Member of the Advisory Board for the Wiley Encyclopedia of Quantitative Risk Analysis and Assessment, and Associate Editor of the Australian and New Zealand Journal of Statistics.
Steven Haberman is Professor of Actuarial Science in Cass Business School, City University, Fellow of the Institute of Actuaries (UK), Associate of Society of Actuaries (US) and Honorary Member of the Istituto Italiano degli Attuari (Italy), He is author of about 150 papers and textbooks in the field of actuarial mathematics and actuarial techniques and was a founding editor of Founding Editor of the international journal “Journal of Pension Economics and Finance “.
Annamaria Olivieri is Full professor of Mathematical Methods for Economics, Actuarial Science and Finance, Faculty of Economics, University of Parma and a full member of the Istituto Italiano degli Attuari (Italy). She has been the author of many papers and textbooks in the field of actuarial mathematics and actuarial techniques.
