Modeling mortality: Empirical studies on the effect of mortality on annuity markets

N. Hari

Research output: ThesisDoctoral ThesisScientific

325 Downloads (Pure)

Abstract

Chapter 3 of the dissertation models the macro-longevity risk and introduces a stochastic model for human mortality rates. Chapter 4 analyzes the importance of mortality improvement and mortality risk (macro- and micro-longevity risk and parameter uncertainty) on solvency positions of pension funds of various sizes. Chapter 5 measures the present value of a single year participation in a collective pension scheme consisting of heterogeneous participants with respect to survival characteristics, and quantifies the incentives for individuals that participate in such systems.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • De Waegenaere, Anja, Co-promotor
  • Melenberg, Bertrand, Promotor
  • Nijman, Theo, Promotor
Award date12 Jan 2007
Place of PublicationTilburg
Publisher
Print ISBNs9789056681877
Publication statusPublished - 2007

Fingerprint

Mortality
Longevity risk
Empirical study
Annuities
Modeling
Parameter uncertainty
Participation
Mortality rate
Pension scheme
Pension funds
Incentives
Present value
Mortality risk
Solvency
Stochastic model

Cite this

Hari, N. (2007). Modeling mortality: Empirical studies on the effect of mortality on annuity markets. Tilburg: CentER, Center for Economic Research.
Hari, N.. / Modeling mortality : Empirical studies on the effect of mortality on annuity markets. Tilburg : CentER, Center for Economic Research, 2007. 147 p.
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abstract = "Chapter 3 of the dissertation models the macro-longevity risk and introduces a stochastic model for human mortality rates. Chapter 4 analyzes the importance of mortality improvement and mortality risk (macro- and micro-longevity risk and parameter uncertainty) on solvency positions of pension funds of various sizes. Chapter 5 measures the present value of a single year participation in a collective pension scheme consisting of heterogeneous participants with respect to survival characteristics, and quantifies the incentives for individuals that participate in such systems.",
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Hari, N 2007, 'Modeling mortality: Empirical studies on the effect of mortality on annuity markets', Doctor of Philosophy, Tilburg University, Tilburg.

Modeling mortality : Empirical studies on the effect of mortality on annuity markets. / Hari, N.

Tilburg : CentER, Center for Economic Research, 2007. 147 p.

Research output: ThesisDoctoral ThesisScientific

TY - THES

T1 - Modeling mortality

T2 - Empirical studies on the effect of mortality on annuity markets

AU - Hari, N.

PY - 2007

Y1 - 2007

N2 - Chapter 3 of the dissertation models the macro-longevity risk and introduces a stochastic model for human mortality rates. Chapter 4 analyzes the importance of mortality improvement and mortality risk (macro- and micro-longevity risk and parameter uncertainty) on solvency positions of pension funds of various sizes. Chapter 5 measures the present value of a single year participation in a collective pension scheme consisting of heterogeneous participants with respect to survival characteristics, and quantifies the incentives for individuals that participate in such systems.

AB - Chapter 3 of the dissertation models the macro-longevity risk and introduces a stochastic model for human mortality rates. Chapter 4 analyzes the importance of mortality improvement and mortality risk (macro- and micro-longevity risk and parameter uncertainty) on solvency positions of pension funds of various sizes. Chapter 5 measures the present value of a single year participation in a collective pension scheme consisting of heterogeneous participants with respect to survival characteristics, and quantifies the incentives for individuals that participate in such systems.

M3 - Doctoral Thesis

SN - 9789056681877

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

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Hari N. Modeling mortality: Empirical studies on the effect of mortality on annuity markets. Tilburg: CentER, Center for Economic Research, 2007. 147 p. (CentER Dissertation Series).