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A unisex stochastic mortality model to comply with EU Gender Directive
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The proposed discrimination-free prices reproduce the pricing formulas of Chen and Vigna (2017).
“note that our proposed discrimination-free prices reproduce the pricing formulas of Chen and Vigna (2017).”
From Discrimination-Free Insurance Pricing (2022) · cites this paper as Chen and Vigna (2017)
h(+)(x) corresponds to the worst or most prudent price and has been discussed in the context of unisex pricing in Chen and Vigna (2017).
“By definition h ( + ) ( x ) corresponds to the 'worst' (or most 'prudent') price and has been discussed in the context of unisex pricing in Chen and Vigna (2017).”
From Discrimination-Free Insurance Pricing (2022) · cites this paper as Chen and Vigna (2017)
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Research works printed but not linked: 13
- Biffis, 2005, Affine processes for dynamic mortality and actuarial valuations, Insurance Math. Econom., 37, 443, 10.1016/j.insmatheco.2005.05.003 · DOI
- Dahl, 2004, Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts, Insurance Math. Econom., 35, 113, 10.1016/j.insmatheco.2004.05.003 · DOI
- Duffie, 2000, Transformation analysis and asset pricing for affine jump diffussion, Econometrica, 68, 1343, 10.1111/1468-0262.00164 · DOI
- Guillén, 2012, Sexless and beautiful data: from quantity to quality, Ann. Actuar. Sci., 6, 231, 10.1017/S1748499512000115 · DOI
- Luciano, 2012, Delta and Gamma hedging of mortality and interest rate risk, Insurance Math. Econom., 50, 402, 10.1016/j.insmatheco.2012.01.006 · DOI
- Luciano, 2015, Single and cross-generation natural hedging of longevity and financial risk, J. Risk Insurance, 10.1111/jori.12104 · DOI
- Luciano, 2008, Mortality risk via affine stochastic intensities: Calibration and empirical relevance, Belg. Actuar. Bull., 8, 5
- Milevsky, 2001, Mortality derivatives and the option to annuitise, Insurance Math. Econom., 29, 299, 10.1016/S0167-6687(01)00093-2 · DOI
- Ornelas, 2013, A comparison between general population mortality and life tables for insurance in mexico under gender proportion inequality, Rev. Mtodos Cuant. Econ. Empresa., 16, 47
- Sass, 2014, Insurance markets and unisex tariffs: is the European Court of Justice improving or destroying welfare?, Scand. Actuar. J., 3, 228, 10.1080/03461238.2012.683450 · DOI
- Schmeiser, 2014, Unisex insurance pricing: Consumers’ perception and market implications, Geneva Pap., 39, 322, 10.1057/gpp.2013.24 · DOI
- Schrager, 2006, Affine stochastic mortality, Insurance Math. Econom., 38, 81, 10.1016/j.insmatheco.2005.06.013 · DOI
- Thiery, 2006, Fairness and equality in insurance classification, Geneva Pap., 31, 190, 10.1057/palgrave.gpp.2510078 · DOI
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Discrimination-Free Insurance Pricing
Lindholm, M., Richman, R., Tsanakas, A., & Wüthrich, M. V. (2022) · ASTIN Bulletin · doi:10.1017/asb.2021.23 · Cited by 60
“Focusing on the case of mortality pricing, Chen and Vigna (2017) criticize the industry practice of deriving unisex life tables by mixing the life tables for each gender on the grounds that this does not respect the principles of actuarial fairness, which is to say that the total unisex premiums…”
BackgroundMethodInfluential
Metadata
- Authors
- Chen, A., & Vigna, E.
- Affiliations
- Universität Ulm (DE)
- Collegio Carlo Alberto (IT)
- Corresponding author
- Vigna, Elena
- ORCID
- Venue
- Insurance: Mathematics and Economics
- Publisher
- Elsevier BV
- Published
- 2017-03
- Volume
- 73
- Pages
- 124-136
- ISSN
- 0167-6687 (ISSN-L)
- OpenAlex
- W2307303816
- Cited by
- 14
- References
- 0
- Citations by year
- 2024: 2 · 2022: 2 · 2021: 3 · 2020: 3 · 2019: 3 · 2018: 1
- FWCI
- 4.98
- Type
- journal article
- Language
- en
- Open access
- green
- hdl.handle.net
- Licence
- Locations
- Insurance Mathematics and Economics (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Institutional Research Information System University of Turin (University of Turin) (submittedVersion, other-oa)
- Topics
- Social Sciences › Demography › Insurance, Mortality, Demography, Risk Management
- Social Sciences › Decision Sciences › Management Science and Operations Research › Probability and Risk Models
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Insurance and Financial Risk Management
- Keywords
- stochastic mortality, life insurance pricing, mortality intensity
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