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A Simple Approach to Project Extreme Old Age Mortality Rates and Value Mortality-Related Financial Instruments

Dowd, K., Cairns, J. G. and Blake, D. ORCID: 0000-0002-2453-2090 (2019). A Simple Approach to Project Extreme Old Age Mortality Rates and Value Mortality-Related Financial Instruments (PI-1907). London, UK: Pensions Institute.

Abstract

This article shows how mortality models that involve age effects can be fitted to ages beyond the sample range using projections of age effects as replacements for age effects that might not be in the sample. This ‘projected age effect’ approach allows insurers to use age-effect mortality models to obtain valuations of financial instruments such as annuities that depend on projections of extreme old age

Publication Type: Monograph (Discussion Paper)
Publisher Keywords: Age-Period-Cohort mortality model, age effect, projection, extreme old age, term annuity
Subjects: H Social Sciences > HD Industries. Land use. Labor
H Social Sciences > HG Finance
Departments: Cass Business School > Finance
URI: https://openaccess.city.ac.uk/id/eprint/23906
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