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The value of a random life: modelling survival probabilities in a stochastic en...
Bravo, Jorge Miguel; Braumann, Carlos A.Refereed scientific paper on stochastic differential equation models for the evolution of survival probabilities of human populations. The paper is in press in the Bulletin of ISI containing the Proceedings of the 56th Session of the ISI (2007). An electronic version is available.
Abstract ISI 2007 Bravo+Braumann
Bravo, Jorge Miguel; Braumann, Carlos A.Scientific meeting: 56th Session of the International Statistical Institute, Lisboa Portugal, Aug 22-29, 2007. Oral communication on stochastic differential equation models for the evolution of mortality rates of human populations and applications to life insurance.
The paradox of ageing
Silva, Carlos Pereira da; Corte Real, Pedro; Bravo, Jorge Miguel; Vaz-Paralta, Sara SofiaPaper prepared for presentation at the 28th International Congress of Actuaries, Paris 2006 ; In this paper, we discuss the so-called paradox of ageing, with respect to the members of the age group 55-64 years of age. This generation is (currently) too young to retire, despite the length of their working lives - for some in excess of forty years - and high earnings, yet is too old to continue working, since em...
Immunization Using a Parametric Model of the Term Structure
Bravo, Jorge Miguel Ventura; Silva, Carlos Manuel Pereira daIn this paper, we develop a new immunization model based on a parametric specification of the term structure of interest rates. The model extends traditional duration analysis to account for both parallel and non-parallel term structure shifts that have an economic meaning. Contrary to most interest rate risk models, we analyse both first-order and second-order conditions for bond portfolio immunization and con...
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