Norberg, Ragnar (2010) Forward mortality and other vital rates: are they the way forward? Insurance: mathematics and economics, 47 (2). pp. 105-112. ISSN 0167-6687
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.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.elsevier.com/locate/ime |
| Additional Information: | © 2010 Elsevier B.V. |
| Uncontrolled Keywords: | ISI, stochastic interest, stochastic mortality, credit risk, rates vs. intensities, multi-state life insurance models |
| Library of Congress subject classification: | H Social Sciences > HF Commerce H Social Sciences > HG Finance Q Science > QA Mathematics |
| Sets: | Departments > Statistics Research centres and groups > Financial Markets Group (FMG) |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| Identification Number: | UT ISI:000281982000001 |
| URL: | http://eprints.lse.ac.uk/29599/ |
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