Findings on Insurance Economics Reported by Investigators at Brussels Free University (From regulatory life tables to stochastic mortality…

Findings on Insurance Economics Reported by Investigators at Brussels Free University (From regulatory life tables to stochastic mortality projections: The exponential decline model)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Fresh data on Economics - Insurance Economics are presented in a new report. According to news reporting from Brussels, Belgium, by VerticalNews journalists, research stated, "Often in actuarial practice, mortality projections are obtained by letting age-specific death rates decline exponentially at their own rate. Many life tables used for annuity pricing are built in this way."

Financial support for this research came from “Projet d’Actions de Recherche Concertees”.

The news correspondents obtained a quote from the research from Brussels Free University, "The present paper adopts this point of view and proposes a simple and powerful mortality projection model in line with this elementary approach, based on the recently studied mortality improvement rates. Two main applications are considered. First, as most reference life tables produced by regulators are deterministic by nature, they can be made stochastic by superposing random departures from the assumed age-specific trend, with a volatility calibrated on market or portfolio data. This allows the actuary to account for the systematic longevity risk in solvency calculations. Second, the model can be fitted to historical data and used to produce longevity forecasts. A number of conservative and tractable approximations are derived to provide the actuary with reasonably accurate approximations for various relevant quantities, available at limited computational cost."

According to the news reporters, the research concluded: "Besides applications to stochastic mortality projection models, we also derive useful properties involving supermodular, directionally convex and stop-loss orders."

For more information on this research see: From regulatory life tables to stochastic mortality projections: The exponential decline model. Insurance Mathematics & Economics, 2016;71():295-303. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news journalists report that additional information may be obtained by contacting J. Trufin, Brussels Free University, Dept. of Math, Brussels, Belgium.

Keywords for this news article include: Brussels, Belgium, Europe, Insurance Economics, Economics, Brussels Free University.

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