Ermanno Pitacco: Heterogeneity in mortality: A survey with an actuarial focus
Time: Wed 2018-04-18 15.15 - 16.15
Location: Room 306, House 6, Kräftriket, Department of Mathematics, Stockholm University
Participating: Ermanno Pitacco (University of Trieste)
Abstract: We provide a review of scientific contributions on mortality heterogeneity, focusing in particular on “unobservable” heterogeneity and the related impact on life insurance and life annuity business. We start with an overview of methodological contributions to heterogeneity and frailty modeling, coming from both the demographical and the actuarial context. We then shift to contributions analyzing the impact of frailty, in its various interpretations, on the results (cash flows, profits, etc.) of insurance and annuity portfolios and related risk profiles.