Survival models in a dynamic context: a survey

By E. Pitacco. 2004

149 citations recorded by the source corpus.

Abstract Several contributions, which can be considered as landmarks in the evolution of dynamic mortality modeling in actuarial mathematics, are focussed. Modern contributions to this topic and research in progress are then dealt with. The paper places a special emphasis on some issues concerning longevity risk, aiming in particular to stress its peculiarity within the context of the mortality risks borne by an insurer (or a pension plan).

Subfields: Demography, General Health Professions, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/680ffae1256f731c41101ecc3fb59b26c3fa67ab

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In Demography

In General Health Professions

In Management Science and Operations Research

Citations in the corpus

Non Mean Reverting Affine Processes for Stochastic Mortality (2005, methodology): “An easy way of capturing the mortality trend observed in the past decades consists in looking Version: October 16, 2006 Page 1 at the graphs of the survival function and the death curves of a population in different years (for an accurate report about mortality trends, see Pitacco (2004a)).”
Stochastic mortality under measure changes (2010, unknown): “In particular, its simple description of the secular change of mortality as a function of a single time-index has proved to be quite effective for forecasting mortality trends (see for example: Lee, 2000; Pitacco, 2004; Wong-Fupuy and Haberman, 2004).”
Association and heterogeneity of insured lifetimes in the Lee–Carter framework (2007, methodology): “For a general account of projecting mortality methods, see Pitacco ( 2004 ) and Wong-Fupuy & Haberman ( 2004 ).”
Mortality Modelling and Forecasting: a Review of Methods (2008, background): “Actuarial applications have highlighted the importance of allowing for all sources of uncertainty in estimating life insurance and pension liabilities (e.g. Olivieri, 2001; Pitacco, 2004).”
Longevity risk in portfolios of pension annuities (2008, background): “…as the “rectangularization” of the survival function, (ii) increasing mode at adult ages of the death curve, which implies the “expansion” of the survival function, and, (iii) higher level and a larger dispersion of death at young ages (for more details see e.g. Pitacco (2004), Olivieri (2001)).”
Understanding, modelling and managing longevity risk: key issues and main challenges (2012, background): “For a detailed survey on the classical mortality models, Pitacco (2004) is referred to.”
Mortality risk via affine stochastic intensities: calibration and empirical relevance (2008, background): “An easy way of capturing the mortality trend observed in the past decades consists in looking at the graphs of the survival function and the death curves of a population in different years (for an accurate report about mortality trends, see Pitacco (2004a)).”