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

N. Hari

Research output: ThesisDoctoral Thesis

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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.
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

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