Article
Understanding Longevity Risk: Insights from Structural
Cause-of-Improvement Models
Andrew Coburn and Peter Nakada
Special Issues Fall 2012, 2012 (1) 92-99
Andrew Coburn
is a senior vice president of LifeRisks at RMS in London, UK.
Peter Nakada
is a managing director of RMS in Hoboken, NJ.
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Understanding Longevity Risk: Insights from Structural
Cause-of-Improvement Models
Cause-of-Improvement Models
Andrew Coburn, Peter Nakada
Special Issues Sep 2012, 2012 (1) 92-99;
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- Article
- Abstract
- MORTALITY IMPROVEMENT WILL NOT REVERT TO HISTORICAL LONG-TERM RATES
- LONGEVITY TAIL RISK IS SHAPED BY SPECIFIC CAUSES
- DIFFERENT SEGMENTS OF THE PORTFOLIO ARE DRIVING DIFFERENT AMOUNTS OF THE RISK
- MORTALITY AND LONGEVITY RISK IS MORE HIGHLY CORRELATED THAN GENERALLY ASSUMED
- LONGEVITY RISK IS NOT JUST NEUTRAL TO MARKET RISK, IT IS NEGATIVELY CORRELATED
- CONCLUSION
- REFERENCES
- Info & Metrics
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