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An index for longevity risk transfer. (English) Zbl 1173.91443

Summary: This paper discusses the choice of an appropriate longevity index to track the improvements in mortality in industrialized countries. Period life expectancies computed from national life tables turn out to be efficient in this context. A detailed analysis of the predictive distribution of this longevity index is performed in the Lee-Carter model where the period life expectancy is just a functional of the underlying time index.

MSC:

91D20 Mathematical geography and demography
91B30 Risk theory, insurance (MSC2010)
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