文章基本信息

标题：Adoption of projected mortality table for the Slovenian market using the Poisson log-bilinear model to test the minimum standard for valuing life annuities
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作者：Darko Medved ; Aleš Ahčan ; Jože Sambt 等
期刊名称：Economic and Business Review
印刷版ISSN：1580-0466
出版年度：2011
卷号：13
期号：4
页码：251-272
语种：English
出版社：University of Ljubljana
摘要：With the introduction of Solvency II a consistent market approach to the valuation of insurance assets and liabilities is required. For the best estimate of life annuity provisions one should estimate the longevity risk of the insured population in Slovenia. In this paper the current minimum standard in Slovenia for calculating pension annuities is tested using the Lee-Carter model. In particular, the mortality of the Slovenian population is projected using the best fit from the stochastic mortality projections method. The projected mortality statistics are then corrected with the selection effect and compared with the current minimum standard.