Improving the Forecast of Longevity by Combining Models

Apicella, Giovanna; Dacorogna, Michel M.; Lorenzo, Emilia Di; Sibillo, Marilena

doi:10.1080/10920277.2018.1556701

Cited by 8 publications

(1 citation statement)

References 22 publications

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“…According to the trend component, with respect to the current literature, we consider both longevity and mortality risks, whose importance has emerged also during pandemic situation, and we take into account also the effect of the different structures of the insurance coverages, typically neglected in the literature. The approach depends on the distribution of death probability and, therefore, can be applied using the alternative forecasting models proposed in the literature (in addition to those defined above, see Lee & Carter, 1992;Renshaw & Haberman, 2006;Apicella et al, 2019;Cairns et al, 2006).…”

Section: Introductionmentioning

confidence: 99%

A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components

Clemente

Corte²,

Savelli³

2022

Ann. actuar. sci.

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This paper provides a stochastic model, consistent with Solvency II and the Delegated Regulation, to quantify the capital requirement for demographic risk. In particular, we present a framework that models idiosyncratic and trend risks exploiting a risk theory approach in which results are obtained analytically. We apply the model to non-participating policies and quantify the Solvency Capital Requirement for the aforementioned risks in different time horizons.

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Section: Introductionmentioning

confidence: 99%

A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components

Clemente

Corte²,

Savelli³

2022

Ann. actuar. sci.

View full text Add to dashboard Cite

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Gender‐inclusive financial and demographic literacy: Monetizing the gender mortality gap

Apicella,

De Giorgi,

Di Lorenzo

et al. 2024

Appl Stoch Models Bus & Ind

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Longevity crucially affects demand for pensions, insurance products and annuities. Consistent empirical evidence shows that women have historically experienced lower mortality rates than men. In this article, we study a measure of the gender gap in mortality rates, we call “Gender Gap Ratio”, across a wide range of ages and for four countries: France, Italy, Sweden, and USA. We show the stylized facts that characterize the trend of the Gender Gap Ratio, both in its historical evolution and future projection. Focusing on an example temporary life annuity contract, we give a monetary consistency to the Gender Gap Ratio. We show evidence that a Gender Gap Ratio that ranges between 1.5 and 2.5, depending on age, translates into a significant reduction of up to 23% in the benefits from a temporary life annuity contract for women with respect to men, against the same amount invested in the life annuity. The empirical evidence discussed in this article documents the crucial importance of working toward a more widespread demographic literacy, for example, a range of tools and strategies to raise longevity consciousness among individuals and policy‐makers, in the framework of gender equality policies.

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Forecasting Mortality with Autoencoders: An Application to Italian Mortality Data

La Rocca,

Perna,

Sibillo

et al. 2023

Smart Innovation, Systems and Technologies

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Improving the Forecast of Longevity by Combining Models

Cited by 8 publications

References 22 publications

A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components

A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components

Gender‐inclusive financial and demographic literacy: Monetizing the gender mortality gap

Forecasting Mortality with Autoencoders: An Application to Italian Mortality Data

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