Pricing Turkish Longevity Risk

被引：0
|
作者：
Karabey, Ugur [1 ]
Sahin, Sule [1 ]
Arik, Ayse [1 ]
机构：
[1] Hacettepe Univ, Dept Actuarial Sci, Ankara, Turkey
来源：
INTERNATIONAL JOURNAL OF ECOLOGICAL ECONOMICS & STATISTICS | 2016年 / 37卷 / 02期
关键词：
Longevity; annuity; pricing; mortality models; risk measures;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we consider different models for Turkish male mortality data. We fit the Lee-Carter model, Poisson log-bilinear model and two-factor model of Cairns, Blake and Dowd to the Turkish data. We compare these three models and price the future annuities using underlying models. We also analyse the effect of different mortality models on future annuity prices by calculating the commonly used risk measures. It turns out that two-factor model of Cairns, Blake and Dowd fits the Turkish male mortality better and produces more reasonable results.
引用
收藏
页码：46 / 55
页数：10
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