Estimation of Longevity Risk and Mortality Modelling

Detalhes bibliográficos
Autor(a) principal: Atemnkeng, Tabi Rosy Christy
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/135573
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
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spelling Estimation of Longevity Risk and Mortality ModellingLee-Carter (LC) modelMortality modelingForecastingLife expectancySingular value decomposition (SVD)Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementPrevious mortality models failed to account for improvements in human mortality rates thus in general, human life expectancy was underestimate. Declining mortality and increasing life expectancy (longevity) profoundly alter the population age distribution. This demographic transition has received considerable attention on pension and annuity providers. Concerns have been expressed about the implications of increased life expectancy for government spending on old-age support. The goal of this paper is to lay out a framework for measuring, understanding, and analyzing longevity risk, with a focus on defined pension plans. Lee-Carter proposed a widely used mortality forecasting model in 1992. The study looks at how well the Lee-Carter model performed for female and male populations in the selected country (France) from 1816 to 2018. The Singular Value Decomposition (SVD) method is used to estimate the parameters of the LC model. The mortality table then assesses future improvements in mortality and life expectancy, taking into account mortality assumptions, to see if pension funds and annuity providers are exposed to longevity risk. Mortality assumptions are predicted death rates based on a mortality table. The two types of mortality are mortality at birth and mortality in old age. Longevity risk must be effectively managed by pension and annuity providers. To mitigate this risk, pension providers must factor in future improvements in mortality and life expectancy, as mortality rates tend to decrease over time. The findings show that failing to account for future improvements in mortality results in an expected provision shortfall. Protection mechanisms and policy recommendations to manage longevity risk can help to mitigate the financial impact of an unexpected increase in longevity.Bravo, Jorge Miguel VenturaRUNAtemnkeng, Tabi Rosy Christy2022-03-31T11:15:31Z2022-02-012022-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/135573TID:202980065enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:13:58Zoai:run.unl.pt:10362/135573Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:48:27.971756Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Estimation of Longevity Risk and Mortality Modelling
title Estimation of Longevity Risk and Mortality Modelling
spellingShingle Estimation of Longevity Risk and Mortality Modelling
Atemnkeng, Tabi Rosy Christy
Lee-Carter (LC) model
Mortality modeling
Forecasting
Life expectancy
Singular value decomposition (SVD)
title_short Estimation of Longevity Risk and Mortality Modelling
title_full Estimation of Longevity Risk and Mortality Modelling
title_fullStr Estimation of Longevity Risk and Mortality Modelling
title_full_unstemmed Estimation of Longevity Risk and Mortality Modelling
title_sort Estimation of Longevity Risk and Mortality Modelling
author Atemnkeng, Tabi Rosy Christy
author_facet Atemnkeng, Tabi Rosy Christy
author_role author
dc.contributor.none.fl_str_mv Bravo, Jorge Miguel Ventura
RUN
dc.contributor.author.fl_str_mv Atemnkeng, Tabi Rosy Christy
dc.subject.por.fl_str_mv Lee-Carter (LC) model
Mortality modeling
Forecasting
Life expectancy
Singular value decomposition (SVD)
topic Lee-Carter (LC) model
Mortality modeling
Forecasting
Life expectancy
Singular value decomposition (SVD)
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2022
dc.date.none.fl_str_mv 2022-03-31T11:15:31Z
2022-02-01
2022-02-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/135573
TID:202980065
url http://hdl.handle.net/10362/135573
identifier_str_mv TID:202980065
dc.language.iso.fl_str_mv eng
language eng
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eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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