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.


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