Bookgreen2005

LEE-CARTER GOES RISK-NEUTRAL AN APPLICATION TO THE ITALIAN ANNUITY MARKET

21 citations0/0 files storedCity Research Online (City University London)

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Insurance, Mortality, Demography, Risk Management Stochastic processes and financial applications Probability and Risk Models

Abstract

We consider a class of stochastic intensities of mortality that generalizes the model proposed by Lee and Carter (1992), allowing general diffusions to drive the mortality time-trend. We analyze the stability of such class of intensities under measure changes and show how a risk-neutral version of the generalized Lee-Carter model can be employed for fair valuation purposes. We provide an example of model calibration based on the Italian annuity market.

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2005Stochastic Integration and Differential Equations 1993Dynamic Asset Pricing Theory.1998On cox processes and credit risky securities 2000The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications 2005Affine processes for dynamic mortality and actuarial valuations 2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk 2004Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts 2001Mortality derivatives and the option to annuitise

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2012Longevity bond pricing under stochastic interest rate and mortality with regime-switching 2011A Subordinated Markov Model for Stochastic Mortality

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