Do actuaries believe in longevity deceleration?
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Edouard Debonneuil, Stéphane Loisel, Frédéric Planchet As more and more people believe that significant...
View ArticleUsing Taiwan National Health Insurance Database to model cancer incidence and...
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Jack C. Yue, Hsin-Chung Wang, Yin-Yee Leong, Wei-Ping Su The increasing cancer incidence and decreasing...
View ArticleCause-of-death mortality: What can be learned from population dynamics?
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Alexandre Boumezoued, Héloïse Labit Hardy, Nicole El Karoui, Séverine Arnold This paper analyses...
View ArticleReplicating intergenerational longevity risk sharing in collective defined...
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Enareta Kurtbegu Intergenerational risk sharing is often seen as a strong point of the Dutch pension...
View ArticleA strategy for hedging risks associated with period and cohort effects using...
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Yanxin Liu, Johnny Siu-Hang Li The stochastic nature of future mortality arises from both period...
View ArticleProfitability and risk profile of reverse mortgages: A cross-system and...
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Yung-Tsung Lee, Ko-Lun Kung, I-Chien Liu This study conducts a cross-system and cross-plan comparison...
View ArticleValuation of variable long-term care Annuities with Guaranteed Lifetime...
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Ming-hua Hsieh, Jennifer L. Wang, Yu-Fen Chiu, Yen-Chih Chen This paper proposes a new product, the...
View ArticleUnisex pricing of German participating life annuities—Boon or bane for...
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Sandy Bruszas, Barbara Kaschützke, Raimond Maurer, Ivonne Siegelin This paper explores how the...
View ArticleValuation of longevity-linked life annuities
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Jorge Miguel Bravo, Najat El Mekkaoui de Freitas In this paper we show that the fair value of a pure...
View ArticleThe effect of longevity drift and investment volatility on income sufficiency...
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Les Mayhew, David Smith, Douglas Wright In 2014 the Government announced radical proposals which now...
View ArticlePension risk management with funding and buyout options
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Samuel H. Cox, Yijia Lin, Tianxiang Shi There has been a surge of interest in recent years from defined...
View ArticleThe choice of trigger in an insurance linked security: The mortality risk case
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Richard MacMinn, Andreas Richter In 2003, Swiss Re introduced a mortality-based security designed to...
View ArticleLongevity risk and capital markets: The 2015–16 update
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): David Blake, Nicole El Karoui, Stéphane Loisel, Richard MacMinn
View ArticleIME’s Editorial Board
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78 Author(s): Rob Kaas, Roger Laeven, Sheldon Lin, Qihe Tang, Gordon Willmot, Hailiang Yang As of 2018, IME will have...
View ArticleEditorial Board
Publication date: January 2018 Source:Insurance: Mathematics and Economics, Volume 78
View ArticleOptimal dividends under Erlang(2) inter-dividend decision times
Publication date: Available online 9 February 2018 Source:Insurance: Mathematics and Economics Author(s): Benjamin Avanzi, Vincent Tu, Bernard Wong In the classical dividends problem, dividend...
View ArticleOn existence and uniqueness of the principle of equivalent utility under...
Publication date: Available online 14 February 2018 Source:Insurance: Mathematics and Economics Author(s): J. Chudziak We establish a necessary and sufficient condition for the existence and...
View ArticleOn generalized log-Moyal distribution: A new heavy tailed size distribution
Publication date: Available online 16 February 2018 Source:Insurance: Mathematics and Economics Author(s): Deepesh Bhati, Sreenivasan Ravi A new class of distributions, the generalized log-Moyal,...
View ArticleOptimal investment strategies and intergenerational risk sharing for target...
Publication date: Available online 27 February 2018 Source:Insurance: Mathematics and Economics Author(s): Suxin Wang, Yi Lu, Barbara Sanders In this paper, we consider a stochastic model for a target...
View ArticleOn optimal periodic dividend strategies for Lévy risk processes
Publication date: Available online 1 March 2018 Source:Insurance: Mathematics and Economics Author(s): Kei Noba, José-Luis Pérez, Kazutoshi Yamazaki, Kouji Yano In this paper, we revisit the optimal...
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