Overview

Mortality improvements, uncertainty in future mortality trends and the relevant impact on life annuities and pension plans constitute important topics in the field of actuarial mathematics and life insurance techniques. In particular, actuarial calculations concerning pensions, life annuities and other living benefits (provided, for example, by long-term care insurance products and whole life sickness covers) are based on survival probabilities which necessarily extend over a long time horizon. In order to avoid underestimation of the related liabilities, the insurance company (or the pension plan) must adopt an appropriate forecast of future mortality.Great attention is currently being devoted to the management of life annuity portfolios, both from a theoretical and a practical point of view, because of the growing importance of annuity benefits paid by private pension schemes. In particular, the progressive shift from defined benefit to defined contribution pension schemes has increased the interest in life annuities with a guaranteed annual amount.This book provides a comprehensive and detailed description of methods for projecting mortality, and an extensive introduction to some important issues concerning longevity risk in the area of life annuities and pension benefits. It relies on research work carried out by the authors, as well as on a wide teaching experience and in CPD (Continuing Professional Development) initiatives. The following topics are dealt with: life annuities in the framework of post-retirement income strategies; the basic mortality model; recent mortality trends that have been experienced; general features of projection models; discussion of stochastic projection models, with numerical illustrations; measuring and managing longevity risk.

Full Product Details

Author:   Ermanno Pitacco (, Department of Applied Mathematics,University of Trieste, Italy) ,  Michel Denuit (, Institute de Statistique (STAT), Université Catholique de Louvain, Belgium) ,  Steven Haberman (, Cass Business School, City University, London) ,  Annamaria Olivieri (, Department of Economics, University of Parma, Italy)
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Dimensions:   Width: 16.10cm , Height: 2.60cm , Length: 24.10cm
Weight:   0.737kg
ISBN:  

9780199547272

ISBN 10:   0199547270
Pages:   416
Publication Date:   29 January 2009
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   To order  
Stock availability from the supplier is unknown. We will order it for you and ship this item to you once it is received by us.

Table of Contents

Preface 1: Life annuities 2: The basic mortality model 3: Mortality trends during the 20th century 4: Forecasting mortality: an introduction 5: Forecasting Mortality: Applications and Examples of Age-Period Models 6: Forecasting mortality: applications and examples of age-period-cohort models 7: The longevity risk: actuarial perspectives References Index

Reviews

The authors have done an excellent job in bringing together coverage on topics of current interest and providing a modern approach to mortality modeling not found in the acturial textbooks. Michael Sherris and Daniel Alai, Journal of Pension Economics and Finance

The authors have done an excellent job in bringing together coverage on topics of current interest and providing a modern approach to mortality modeling not found in the acturial textbooks. * Michael Sherris and Daniel Alai, Journal of Pension Economics and Finance *

Author Information

"Ermanno Pitacco is full professor of Actuarial Mathematics in the Faculty of Economics, University of Trieste, Academic Director of the Master in Insurance and Risk Management at the MIB School of Management in Trieste, Full member of the Istituto Italiano degli Attuari (Italy), Affiliate member of the Institute of Actuaries (UK). He has authored 90 papers and textbooks in the field of actuarial techniques. Michel Denuit is Professor of Statistics and Actuarial Mathematics, Université Catholique de Louvain. He was a founding member of the Belgian Actuarial Bulletin. He is also Proceedings Editor for Insurance: Mathematics and Economics, Editor for ASTIN Bulletin, Associate Editor, Methodology and Computing in Applied Probability, Member of the Advisory Board for the Wiley Encyclopedia of Actuarial Science, Member of the Advisory Board for the Wiley Encyclopedia of Quantitative Risk Analysis and Assessment, and Associate Editor of the Australian and New Zealand Journal of Statistics. Steven Haberman is Professor of Actuarial Science in Cass Business School, City University, Fellow of the Institute of Actuaries (UK), Associate of Society of Actuaries (US) and Honorary Member of the Istituto Italiano degli Attuari (Italy), He is author of about 150 papers and textbooks in the field of actuarial mathematics and actuarial techniques and was a founding editor of Founding Editor of the international journal ""Journal of Pension Economics and Finance "". Annamaria Olivieri is Full professor of Mathematical Methods for Economics, Actuarial Science and Finance, Faculty of Economics, University of Parma and a full member of the Istituto Italiano degli Attuari (Italy). She has been the author of many papers and textbooks in the field of actuarial mathematics and actuarial techniques."

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