Nonlinear Modeling of Mortality Data and Its Implications for Longevity Bond Pricing
Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has caused significant financial stress to pension plan sponsors and annuity providers. The widely recognized Lee–Carter model often assumes linearity in its period effect as an integral...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-11-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/12/207 |