This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities. As a major risk in long term insurance products, mortality risk has material impact on liabilities calculation. Incorporating the numerical method based on Lee Carter model to the hybrid framework makes it possible to quantify all major risks associated with insurance products, and is especially beneficial for those bearing long term mortality/longevity risks, such as GMWB, annuities, pensions and other long term insurance products.

The highlights include:

  • Introduction to the Lee Carter Model
  • Deterministic vs. Stochastic Mortality Rates
  • How Stochastic Mortality Analysis Helps in Pricing
  • Potential Gain/ Loss Based on Deterministic Mortality Rates

Download White Paper

Complete the form below to download this complimentary white paper.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields

Numerix ESG

product collateral

Numerix ESG Brochure: Advance ESG Models With Full Transparency & Control

numerix conference

Join us for NEXT 2019 - the Numerix User Conference

conference presentation

Latest Thoughts on Use of Economic Scenario Generators


2019 SOA Life & Annuity Symposium

conference presentation

Modeling Considerations for Embedded Guarantees

conference presentation

Risk-Neutral ESG

conference, industry conference

SOA Annual Meeting & Exhibit 2018

conference presentation

Risk-Neutral Economic Scenario Generation

numerix conference

Join us for NEXT 2018 - the Global Numerix User Conference


Economic Scenario Generation for the Practitioner

news - article pdf - Dec 14, 2017 Market Technology Awards 2018 | Actuarial Modelling Product of Year