Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Søren Fiig Jarner"'
Autor:
Snorre Jallbjørn, Søren Fiig Jarner
Publikováno v:
Forecasting, Vol 4, Iss 4, Pp 819-844 (2022)
The main purpose of coherent mortality models is to produce plausible, joint forecasts for related populations avoiding, e.g., crossing or diverging mortality trajectories; however, the coherence assumption is very restrictive and it enforces trends
Externí odkaz:
https://doaj.org/article/1886fef415f1467a8c8410c38914beb5
Publikováno v:
The Scientific World Journal, Vol 2014 (2014)
The impact of administrative costs on the distribution of terminal wealth is approximated using a simple formula applicable to many investment situations. We show that the reduction in median returns attributable to administrative fees is usually at
Externí odkaz:
https://doaj.org/article/dfa5c7fe328f4887b5eaeaf81e495997
This chapter discusses both the overall design of pension plans and the design of specific pension products found in the Danish occupational pension system. From the perspective of designing a pension plan, or indeed a national pension system, the sp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::915fc63507f3c2eb946c557d86b92c5e
https://doi.org/10.1093/oso/9780198867425.003.0004
https://doi.org/10.1093/oso/9780198867425.003.0004
Autor:
Søren Fiig Jarner, Snorre Jallbjørn
Publikováno v:
Jarner, S F & Jallbjørn, S 2020, ' Pitfalls and merits of cointegration-based mortality models ', Insurance: Mathematics and Economics, vol. 90, pp. 80-93 . https://doi.org/10.1016/j.insmatheco.2019.10.005
In recent years, joint modelling of the mortality of related populations has received a surge of attention. Several of these models employ cointegration techniques to link underlying factors with the aim of producing coherent projections, i.e. projec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dcb46ac158c0b1c2634258001b622a96
https://curis.ku.dk/ws/files/243016697/OA_Pitfalls_and_merits_of_cointegration_based_mortality_models.pdf
https://curis.ku.dk/ws/files/243016697/OA_Pitfalls_and_merits_of_cointegration_based_mortality_models.pdf
Autor:
Søren Fiig Jarner, Michael Preisel
Publikováno v:
Scandinavian Actuarial Journal. 2017:471-494
We present a new type of with-profits annuities which offer lifelong, yet hedgeable, guarantees. The rolling annuity gives a minimum lifelong guarantee at the time of contribution complemented with a series of guaranteed increases prior to retirement
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a01d237f54a300a67de50e2f556d1dc9
https://doi.org/10.1080/03461238.2016.1174732
https://doi.org/10.1080/03461238.2016.1174732
Publikováno v:
Insurance: Mathematics and Economics. 67:1-20
The purpose of the paper is twofold. First, we consider entrance times of random walks, i.e. the time of first entry to the negative axis. Partition sum formulas are given for entrance time probabilities, the n th derivative of the generating functio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2714a3dd8801f49ea4f48e62e8db339c
https://doi.org/10.1016/j.insmatheco.2015.11.006
https://doi.org/10.1016/j.insmatheco.2015.11.006
Publikováno v:
Journal of Behavioral and Experimental Finance. 6:56-66
Under the assumption of zero correlation between cost ratios and expected investment returns we analyze the impact of proportional investment costs. We consider a constant relative risk aversion investor optimizing expected utility from terminal weal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fa957bf34dd9be940d97672b3ca1a458
https://doi.org/10.1016/j.jbef.2015.03.004
https://doi.org/10.1016/j.jbef.2015.03.004
Autor:
Thomas Møller, Søren Fiig Jarner
Publikováno v:
Scandinavian Actuarial Journal. 2015:352-382
This paper proposes a simple partial internal model for longevity risk within the Solvency 2 framework. The model is closely linked to the mechanisms associated with the so-called Danish longevity benchmark, where the underlying mortality intensity a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::18dc8241860a18240033c06cf57fa656
https://doi.org/10.1080/03461238.2013.836561
https://doi.org/10.1080/03461238.2013.836561
Publikováno v:
Scandinavian Actuarial Journal. 2010:15-35
Saving for retirement by with-profits pension contracts is markedly different from traditional savings vehicles in at least two aspects: premia committed to the company are managed according to the preferences of the company – which may not coincid
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1027b0ba9c4662e30ac0c19bcbeabf20
https://doi.org/10.1080/03461230802539444
https://doi.org/10.1080/03461230802539444
Publikováno v:
Scandinavian Actuarial Journal. 2008:147-173
From 1835 to date Denmark has experienced an increase in life expectancy at birth of about 40 years for both sexes. Over the course of the last 170 years, life expectancy at birth has increased from 40 to 80 years for women and from 36 to 76 years fo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ae1f6bd362904b97e01a6eed4c5342b5
https://doi.org/10.1080/03461230802079193
https://doi.org/10.1080/03461230802079193