Pricing participating longevity-linked life annuities

Bravo, J. M. (2022). Pricing participating longevity-linked life annuities: a Bayesian Model Ensemble approach. European Actuarial Journal, 12(1), 125-159. https://doi.org/10.1007/s13385-021-00279-w ------ The author would like to express his gratitude to the editor and to two anonymous referees for...

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Bibliographic Details
Main Author: Bravo, Jorge Miguel (author)
Format: article
Language:eng
Published: 2022
Subjects:
Bayesian Model Ensemble
Longevity options
Longevity-linked life annuities
Pensions
Stochastic mortality models
Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty
SDG 1 - No Poverty
SDG 8 - Decent Work and Economic Growth
SDG 10 - Reduced Inequalities
Online Access:http://hdl.handle.net/10362/118506
Country:Portugal
Oai:oai:run.unl.pt:10362/118506
Description
Summary:Bravo, J. M. (2022). Pricing participating longevity-linked life annuities: a Bayesian Model Ensemble approach. European Actuarial Journal, 12(1), 125-159. https://doi.org/10.1007/s13385-021-00279-w ------ The author would like to express his gratitude to the editor and to two anonymous referees for his or her careful review and insightful comments, that helped strengthen the quality of the paper. We thank also the suggestions and remarks from participants at the CAPSI 2020 Conference, Porto. The author was supported by Portuguese national science funds through FCT under the project UIDB/04152/2020-Centro de Investigação em Gestão de Informação (MagIC).

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