• Title of article

    Forward mortality and other vital rates — Are they the way forward?

  • Author/Authors

    Norberg، نويسنده , , Ragnar، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2010
  • Pages
    8
  • From page
    105
  • To page
    112
  • Abstract
    This paper presents a comparative study of stochastic interest and stochastic mortality showing that, despite a virtual similarity, the two concepts are fundamentally different. The notion of forward mortality rate, fetched from finance and now the latest thing in actuarial science, is predicted to soon go out of fashion. Trying it on, it does not fill the measurements of a well-made theoretical concept: there is an element of arbitrariness in its very definition, it disobeys certain self-evident parity requirements, and it fails to generalize to more complex models. It is concluded that forward rate modeling, while passable in the context of interest, is not the way forward in the context of mortality and more general life history analysis.
  • Keywords
    Stochastic interest , Stochastic mortality , credit risk , Multi-state life insurance models , Rates vs. intensities
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    2010
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1544026