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Uncertainty in mortality projections: an actuarial perspective. (English) Zbl 0989.62058

Summary: The use of mortality tables that include a forecast of the future trends of mortality (the so-called “projected tables”) for life insurance valuations is analysed. In particular, annuity and term assurance portfolios are considered. The (systematic) risk inherent in the adoption of a table that might not properly represent future mortality is modelled. Some tools for facing such risk are briefly discussed.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62Q05 Statistical tables
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