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The future of longevity and life annuities pricing in Algeria: comparison of mortality models

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  • FLICI, Farid

Abstract

Using prospective life tables for pension plan managing and life annuities reserving is now a requisite especially in the context of developing countries where life expectancy keeps improving significantly. Algeria, as one of these countries, and is more than important to provide the life insurance sector with dynamic life tables for actuarial calculations. In this paper, we aim to achieve this objective by comparing a set of mortality models, principally Lee-Carter and Cairns-Blake-Dowd models with variants. To this end, we use the Algerian mortality surfaces; for males and females, for the period [1977, 2013] and for the age interval [50, 79]. Models evaluation and selection is based on the goodness-of-fit, the predictive capacity, the male-female coherence, and also the expected gap in life expectancy between males and females.

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  • FLICI, Farid, 2016. "The future of longevity and life annuities pricing in Algeria: comparison of mortality models," SocArXiv 2tdgm, Center for Open Science.
    • Handle: RePEc:osf:socarx:2tdgm
    DOI: 10.31219/osf.io/2tdgm
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    References listed on IDEAS

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    5. Andrew Cairns & David Blake & Kevin Dowd & Guy Coughlan & David Epstein & Alen Ong & Igor Balevich, 2009. "A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States," North American Actuarial Journal, Taylor & Francis Journals, vol. 13(1), pages 1-35.
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