文章基本信息

标题：Integrating Financial and Demographic Longevity Risk Models: An Australian Model for Financial Applications
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作者：Samuel Wills ; Michael Sherris
期刊名称：Discussion Paper / The Pensions Institute
印刷版ISSN：1367-580X
出版年度：2008
卷号：2008
出版社：Pensions Institute
摘要：Since its introduction, the Lee Carter model has been widely adopted as a means of modelling the distribution of projected mortality rates. Increasingly attention is being placed on alternative models and, importantly in the ¯nancial and actuarial literature, on models suited to risk management and pricing. Financial economic approaches based on term structure models provide a framework for embedding longevity models into a pricing and risk management framework. They can include traditional actuarial models for the force of mortality as well as multiple risk fac- tor models. The paper develops a stochastic longevity model suitable for ¯nancial pricing and risk management applications based on Australian population mortality rates from 1971-2004 for ages 50-99. The model allows for expected changes aris- ing from age and cohort e®ects and includes multiple stochastic risk factors. The model captures age and time e®ects and allows for age dependence in the stochastic factors driving longevity improvements. The model provides a good ¯t to historical data capturing the stochastic trends in mortality improvement at di®erent ages and across time as well as the multivariate dependence structure across ages.
关键词：longevity, mortality, pricing, risk management