Natural hedging is one possible method to reduce longevity risk exposure for an annuity provider or a pension plan. In this paper, we provide an assessment of the effectiveness of natural hedging between annuity and life products, using the correlated Poisson Lee–Carter model, Poisson common...

When a bonus–malus system with a single set of optimal relativities and a set of simple transition rules is implemented, two inadequacy scenarios are induced because all policyholders are subject to the same a posteriori premium relativities (level transitions) independent of their a priori...

In this paper, we investigate the construction of mortality indexes using the time-varying parameters in common stochastic mortality models. We first study how existing models can be adapted to satisfy the new-data-invariant property, a property that is required to ensure the resulting mortality...

We examine the application of a Poisson common factor model for the projection of mortality jointly for females and males. The model structure is an extension of the classical Lee-Carter method in which there is a common factor for the aggregate population, while a number of additional...

This paper investigates the forecasting performance of the non-linear time series SETAR model by using Canadian GDP data from 1965 to 2000. Besides the within-sample fit, the forecasting performance of a standard linear ARIMA model for the same sample has also been generated for comparative...

The Center for Financial Stability (CFS) has initiated a new Divisia monetary aggregates database, maintained within the CFS program called Advances in Monetary and Financial Measurement (AMFM). The Director of the program is William A. Barnett, who is the originator of Divisia monetary...

In order to reduce the cost of thermal energy recovery, a packed bed closed loop thermal energy storage system has been proposed and is investigated. The main components of the system include a closed air cycle, a heat exchanger, and a packed bed storage column. This paper is aimed at analyzing...

Information and communication technologies (ICTs) are increasingly seen as integral to the development process. This paper reviews some of the evidence for the link between telecommunications and the Internet and economic growth, the likely impact of the new ICTs on income inequality and...