Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Fung, Man Chung"'
Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee insurance fee
Externí odkaz:
http://arxiv.org/abs/1705.03787
Publikováno v:
Ann. actuar. sci. 13 (2019) 109-144
Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under the genera
Externí odkaz:
http://arxiv.org/abs/1703.08282
Publikováno v:
Annals of Actuarial Science 11 (2), pp. 343-389, 2017
This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a general sta
Externí odkaz:
http://arxiv.org/abs/1605.09484
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality forecasting or pric
Externí odkaz:
http://arxiv.org/abs/1508.00322
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide downside
Externí odkaz:
http://arxiv.org/abs/1508.00090
Publikováno v:
In Insurance Mathematics and Economics September 2018 82:95-116
Publikováno v:
In Personality and Individual Differences June 2016 95:114-120
Publikováno v:
In Insurance Mathematics and Economics September 2014 58:103-115
Publikováno v:
Annals of Actuarial Science. Mar2019, Vol. 13 Issue 1, p109-144. 36p.
Publikováno v:
Annals of Actuarial Science. Sep2017, Vol. 11 Issue 2, p343-389. 47p.