Essays on Dynamic Modeling in Life Insurance and Private Pension: Longevity, Surrender and Embedded Options

Author : César da Rocha Neves


Essays on Dynamic Modeling in Life Insurance and Private Pension: Longevity, Surrender and Embedded Options

The author proposes four dynamic models to help life insurers and pension plans to measure and manage their risk factors and annuity plans, including models to forecast longevity gains of a population, a multivariate time series model, a multivariate structural time series model, and  a model for evaluating the value of embedded options in the Brazilian unit-linked plans.