Akademik Veri Yönetim Sistemi
Virtual 24th International Congress on Insurance: Mathmeatics and Economics, Illinois, Amerika Birleşik Devletleri, 5 - 09 Temmuz 2021, ss.174
Annuity pricing is essential to insurance companies for
their financial liabilities. Therefore, one of the purposes of companies is to
adjust the annuity prices using a forecasting model that fits their historical data
best. However, historical data may have outliers influencing the model.
Extraordinary events such as a weak health system, an outbreak of war, and
pandemics like Spanish flu or, more recently, Covid-19may cause outliers
resulting in misevaluation of mortality rates. These outliers should be taken
into account to preserve the life insurance industry’s financial strength and
liability. In this study, we aim to find if there is an impact of mortality
outliers in annuity pricing. We analyze the annuity price fluctuations among
different countries using two models: Lee-Carter model and Outlier-Adjusted
Lee-Carter model. Since the effect of possible outliers in the mortality data
may vary according to race, geographic location, economic welfare, and
demographic structures, we choose five countries for comparison. Russia and
Bulgaria as emerging countries, Canada, Japan, and United Kingdom, as developed
countries with high longevity risk, are considered. Moreover, we show the
annuity pricing on a simulated diverse portfolio created for the prices of four
types of life annuities for a more comprehensive assessment. The results of
this study prove the use of outlier-adjusted models for specific countries.