×
Milidonis, Andreas; Lin, Yijia; Cox, Samuel H.

Mortality regimes and pricing. (English) Zbl 1228.91043

N. Am. Actuar. J. 15, No. 2, 266-289 (2011).
Summary: Mortality dynamics are characterized by changes in mortality regimes. This paper describes a Markov regime-switching model that incorporates mortality state switches into mortality dynamics. Using the 1901–2005 U.S. population mortality data, we illustrate that regime-switching models can perform better than well-known models in the literature. Furthermore, we extend the 1992 Lee-Carter model in such a way that the time-series common risk factor to all cohorts has distinct mortality regimes with different means and volatilities. Finally, we show how to price mortality securities with this model.

Cited in 1 Review
Cited in 27 Documents

MSC:

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
PDF BibTeX XML Cite
\textit{A. Milidonis} et al., N. Am. Actuar. J. 15, No. 2, 266--289 (2011; Zbl 1228.91043)
Full Text: DOI
  • logo of hbz
  • logo of WorldCat

References:

[1] Ballotta L., Insurance: Mathematics and Economics 38 pp 195– (2006) · Zbl 1101.60045
[2] Bollen N. P. B., Journal of Derivatives 6 (1) pp 38– (1998)
[3] Boudreault M., North American Actuarial Journal 13 (1) pp 36– (2009)
[4] Boyle P., North American Actuarial Journal 11 (4) pp 1– (2007)
[5] Boyle P., Insurance: Mathematics and Economics 40 (2) pp 267– (2007) · Zbl 1141.91420
[6] Cairns A. J. G., Astin Bulletin 36 (1) pp 79– (2006) · Zbl 1162.91403
[7] Chen H., Journal of Risk and Insurance 76 pp 727– (2009)
[8] Cox S. H., Insurance: Mathematics and Economics 46 (1) pp 242– (2010) · Zbl 1231.91168
[9] Cox S. H., Journal of Risk and Insurance 73 (4) pp 719– (2006)
[10] Dahl M., Insurance: Mathematics and Economics 35 pp 113– (2004) · Zbl 1075.62095
[11] Dahl M., Insurance: Mathematics and Economics 39 (2) pp 193– (2006) · Zbl 1201.91089
[12] Fenton J., Towers Perrin (2007)
[13] Froot K. A., Journal of Banking and Finance 32 pp 69– (2008)
[14] Gerber H. U., North American Actuarial Journal 2 (3) pp 74– (1998)
[15] Goldfeld S. M., Journal of Econometrics 1 pp 3– (1973) · Zbl 0294.62087
[16] Gründl Helmut, Journal of Risk and Insurance 73 (1) pp 19– (2006)
[17] Hamilton J. D., Econometrica 57 pp 357– (1989) · Zbl 0685.62092
[18] Hamilton J. D., Journal of Econometrics 64 pp 307– (1994) · Zbl 0825.62950
[19] Hardy M. R., North American Actuarial Journal 5 (2) pp 41– (2001)
[20] Harrington S. E., Journal of Financial Intermediation 12 pp 365– (2003)
[21] Kogure A., Insurance: Mathematics and Economics 46 (1) pp 162– (2010) · Zbl 1231.91438
[22] Lee R. D., North American Actuarial Journal 4 (1) pp 80– (2000)
[23] Lee R. D., Journal of the American Statistical Association 87 (419) pp 659– (1992)
[24] Lin S. X., North American Actuarial Journal 13 (3) pp 316– (2009)
[25] Lin Y., Journal of Risk and Insurance 72 (2) pp 227– (2005)
[26] Lin Y., Insurance: Mathematics and Economics 42 (2) pp 628– (2008) · Zbl 1152.91593
[27] Lu Y., North American Actuarial Journal 10 (4) pp 235– (2006)
[28] Milevsky M. A., Insurance: Mathematics and Economics 29 (3) pp 299– (2001) · Zbl 1074.62530
[29] Milidonis A., North American Actuarial Journal 11 (4) pp 42– (2007)
[30] Milidonis A., Astin Bulletin 38 pp 13– (2008) · Zbl 1169.91391
[31] Modisett C. M., North American Actuarial Journal 14 pp 68– (2010)
[32] Naik V., Journal of Finance 48 (5) pp 1969– (1993)
[33] Quandt R. E., Journal of the American Statistical Association 53 pp 873– (1958)
[34] Siu T. K., North American Actuarial Journal 12 (1) pp 19– (2008)
[35] Stern H. L., Annuity Shopper (2008)
[36] Wang S., Astin Bulletin 26 pp 71– (1996)
[37] Wang S., Journal of Risk and Insurance 67 pp 15– (2000)
[38] Wang , S. 2001 . A Universal Framework for Pricing Financial and Insurance Risks . XI-th AFIR Proceedings . 2001 , Toronto, CA .
[39] Wills S., Insurance: Mathematics and Economics 46 (1) pp 173– (2010) · Zbl 1231.91251
[40] Yang S. S., Insurance: Mathematics and Economics 46 (1) pp 254– (2010) · Zbl 1231.91254
[41] Yuen F. L., North-American Actuarial Journal 4 pp 256– (2010)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.