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
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