Modelling and projecting mortality improvement rates using a cohort perspective

Haberman, Steven; Renshaw, A. E.

doi:10.1016/j.insmatheco.2013.04.006

Cited by 27 publications

(16 citation statements)

References 15 publications

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“…(2008), Kuang et al . (2008), Haberman & Renshaw (2009, 2011, 2012, 2013), Hatzopoulos and Haberman (2009, 2011), Li et al . (2009, 2015a), Wang and Preston (2009), Biffis et al .…”

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confidence: 99%

Still living with mortality: the longevity risk transfer market after one decade

Blake¹,

Cairns²,

Dowd³

et al. 2019

Br. Actuar. J.

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This paper updates Living with Mortality published in 2006. It describes how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions – buy-outs, buy-ins and longevity insurance – have triumphed over capital markets solutions that were expected to dominate at the time. Some capital markets solutions – longevity-spread bonds, longevity swaps, q-forwards and tail-risk protection – have come to market, but the volume of business has been disappointingly low. The reason for this is that when market participants compare the index-based solutions of the capital markets with the customised solutions of insurance companies in terms of basis risk, credit risk, regulatory capital, collateral and liquidity, the former perform on balance less favourably despite a lower potential cost. We discuss the importance of stochastic mortality models for forecasting future longevity and examine some applications of these models, e.g. determining the longevity risk premium and estimating regulatory capital relief. The longevity risk transfer market is now beginning to recognise that there is insufficient capacity in the insurance and reinsurance industries to deal fully with demand and new solutions for attracting capital markets investors are now being examined – such as longevity-linked securities and reinsurance sidecars.

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“…(2008), Kuang et al . (2008), Haberman & Renshaw (2009, 2011, 2012, 2013), Hatzopoulos and Haberman (2009, 2011), Li et al . (2009, 2015a), Wang and Preston (2009), Biffis et al .…”

mentioning

confidence: 99%

Still living with mortality: the longevity risk transfer market after one decade

Blake¹,

Cairns²,

Dowd³

et al. 2019

Br. Actuar. J.

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“…Specifically, we have fitted the Gaussian cohort-based mortality improvement rate model (which we abbreviate as -MIRCO) with a multiplicative bilinear parametric predictor structure xt x t     to the UK male mortality experience, ages 1-89, for periods 1961 to 0 t . We recall from Haberman and Renshaw (2013) that this approach targets the mortality improvement rate (MIR) which is defined the ratio of the period one-step mortality improvements to the average of the two adjacent mortality rates.…”

Section: Numerical Illustrationsmentioning

confidence: 99%

“…In order to compute the simulations described below we follow the approach of Haberman and Renshaw (2012, 2013). Specifically, we have fitted the Gaussian cohort-based mortality improvement rate (MIR) model (which we abbreviate as – MIRCO) with a multiplicative bilinear parametric predictor structure η xt = β x κ t to the UK male mortality experience, ages 1–89, for periods 1961 to t 0 .…”

Section: Numerical Illustrationsmentioning

confidence: 99%

Longevity-contingent deferred life annuities

Denuit¹,

Haberman

Renshaw

2015

Journal of Pension Economics and Finance

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This is the accepted version of the paper.This version of the publication may differ from the final published version. Permanent Abstract.Considering the substantial systematic longevity risk threatening annuity providers' solvency, indexing benefits on actual mortality improvements appears to be an efficient risk management tool, as discussed in Denuit, Renshaw (2011) andRichter andWeber (2011). Whereas these papers consider indexing annuity payments, the present work suggests that the length of the deferment period could also be subject to revision, providing longevity-contingent deferred life annuities.

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“…This is because we believe mortality improvements can be modelled by a stable process which is required to be projected forward based on past experience. Projection of mortality improvement rates is advocated by Plat (2011), Haberman & Renshaw (2012, 2013 and more recently by Börger & Aleksic (2014). In the United Kingdom (UK), the Continuous Mortality Investigation (CMI) introduced age-period-cohort improvement (APCI) model as a new mortality projection method (CMI 2016).…”

Section: Introductionmentioning

confidence: 99%