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Modeling Longevity Risk using Extreme Value Theory: An Empirical Investigation ...
Bravo, Jorge; Real, PedroExtreme value theory (EVT) provides a framework to formalize the study of behaviour in the tails of a distribution. In this paper we use EVT to model the statistical behaviour of mortality rates over a given high threshold age and to estimate the significance of rare longevity risk in a given population. We adopt a piecewise approach in estimating the optimal threshold age using an iterative algorithm of maximu...
Participating life annuities incorporating longevity risk sharing arrangements
Bravo, Jorge; Real, Pedro; Silva, CarlosIn this paper we develop a conceptual framework for the payout phase in which annuity providers and policyholders share longevity and investment risks in a flexible way. To be more precise, we develop an participating life annuity product in which systematic longevity risk, i.e., the risk associated with systematic deviations from mortality rates extracted from prospective life tables derived for the Portuguese...
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...
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