For the best estimate of life annuity provisions, the longevity risk of the insured population must be estimated. In this article, we present an application of the Poisson logbilinear model to construct life annuity tables for the Slovenian market. As data on the selection effect of annuity owners are not available for the Slovenian market, we have used selection statistics from UK data. We then compare those tables with the German annuity tables DAV 1994 R, which are the current minimum standard for valuing annuity-related liabilities in Slovenia. It is shown that current minimum standard underestimate longevity risk of the insured population in Slovenia by 2–4%.

ADOPTION OF PROJECTED MORTALITY TABLE FOR THE SLOVENIAN MARKET USING THE POISSON LOG-BILINEAR MODEL TO TEST THE MINIMUM STANDARD FOR VALUING LIFE ANNUITIES

PITACCO, ERMANNO
2011-01-01

Abstract

For the best estimate of life annuity provisions, the longevity risk of the insured population must be estimated. In this article, we present an application of the Poisson logbilinear model to construct life annuity tables for the Slovenian market. As data on the selection effect of annuity owners are not available for the Slovenian market, we have used selection statistics from UK data. We then compare those tables with the German annuity tables DAV 1994 R, which are the current minimum standard for valuing annuity-related liabilities in Slovenia. It is shown that current minimum standard underestimate longevity risk of the insured population in Slovenia by 2–4%.
2011
http://www.ebrjournal.net/ojs/index.php/ebr/article/view/83
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/2833721
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