免費 SURVIVAL MODELS IN ACTUARIAL MATHEMATICS－FROM HALLEY TO LONGEVITY RISK

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SURVIVAL MODELS IN ACTUARIAL MATHEMATICS.pdf (245.91 KB)

2013-12-7 22:19:10 上传

SURVIVAL MODELS IN ACTUARIAL MATHEMATICS－

FROM HALLEY TO LONGEVITY RISK

Ermanno Pitacco

Dipartimento di Matematica Applicata “B. de Finetti”, University of Trieste

p.le Europa, 1 - I 34127 Trieste (Italy)

Abstract

Several contributions, which can be considered as landmarks in the evolution of　survival modelling in actuarial mathematics, are focussed. The following topics　are concerned: the development from age-discrete to age-continuous modelling,

from single-decrement to multiple-decrement models and multistate models, from　population homogeneity to population heterogeneity, from static mortality to the　analysis of mortality trends and the consequent need for mortality projections.

Finally, the paper places a special emphasis on some issues concerning actuarial　modelling in a dynamic context. So, the topic of longevity risk is dealt with,　aiming in particular to stress its peculiarity in the context of the mortality risks

borne by an insurer (or a pension plan).

Keywords

Early actuarial models, Mortality laws, Multistate models, Heterogeneity, Mortality

trends, Projections, Longevity risk

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关键词：mathematics Mathematic Actuarial Longevity Thematic University concerned following survival

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