No CrossRef data available.
Article contents
Longevity Risk and Annuity Pricing with the Lee–Carter Model. Discussion Held at the Faculty of Actuaries
Published online by Cambridge University Press: 12 December 2011
Abstract
An abstract is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
- Type
- Sessional meetings: papers and abstracts of discussions
- Information
- Copyright
- Copyright © Institute and Faculty of Actuaries 2009
References
REFERENCES
Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D., & Khalaf-Allah, M., (2008). Mortality density forecasts: an analysis of six stochastic mortality models. Working Paper.Google Scholar
Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D., Ong, A., & Balevich, I., (2009). A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. North American Actuarial Journal, 13(1), 1–35.CrossRefGoogle Scholar
Dowd, K., Blake, D., & Cairns, A.J.G. (2010). Facing up to uncertain life expectancy: the longevity fan charts. Demography, 47, 67–78.CrossRefGoogle ScholarPubMed
CMI (Mortality Projection Working Party) (2007). Stochastic projection methodologies: further progress and P-Spline model features, example results and implications. Working Paper No. 20.Google Scholar
Chan, W.S., Li, S-H. & Cheung, S-H. (2008). Testing deterministic versus stochastic trends in the Lee–Carter mortality indexes and its implications for projecting mortality improvements at advanced ages. http://www.soa.org/library/monographs/retirementsystems/living-to-100-and-beyond/2008/january/mono-li08-6a-chan-abstract.pdfGoogle Scholar
CEIOPS (2007). QIS3 Calibration of the underwriting risk, market risk and MCR (CEIOPSFS-14/07). http://www.ceiops.eu/media/files/consultations/QIS/QIS3/QIS3CalibrationPapers.pdfGoogle Scholar
Haldane, A.G.,(2009). Why banks failed the stress test. http://www.bankofengland.co.uk/publications/speeches/2009/speech374.pdfGoogle Scholar