Akademik Veri Yönetim Sistemi
Advances in Econometrics, Operational Research, Data Science and Actuarial Studies, M. Kenan Terzioğlu, Editör, Springer, London/Berlin , Berlin, ss.499-513, 2022
Annuity pricing is critical to the insurance companies for
their financial liabilities. Companies aim to adjust the prices using a
forecasting model that fits best to their historical data, which may have
outliers influencing the model. Environmental conditions and extraordinary
events such as a weak health system, an outbreak of war, and occurrence of
pandemics like Spanish flu or Covid-19 may cause outliers resulting in
misevaluation of mortality rates. These outliers should be taken into account
to preserve the financial strength and liability of the life insurance
industry. In this study, we aim to determine if there is an impact of mortality
jumps in annuity pricing. We question the annuity price fluctuations among
different countries and two models on country characteristics. Moreover, we
show the annuity pricing on a portfolio for a more comprehensive assessment. To
achieve this, a simulated diverse portfolio is created for the prices of four
types of life annuities. Canada, Japan, and the United Kingdom as developed
countries with high longevity risk, Russia and Bulgaria as emerging countries
are considered. The results of this study prove the use of outlier-adjusted
models for specific countries.