In this paper, a time series of UK annuity income rates (AR) based on historical interest rates but modern mortality rates (hence the term “semi-historical”) has been derived for both nominal and inflation-linked annuities. The errors associated with the calculated rates for nominal...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...