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Pricing Turkish Longevity Risk

Uğur Karabey, Şule Şahin, Ayşe Arık


In this paper we consider different models for Turkish male mortality data. We fit the Lee-Carter model, Poisson log-bilinear model and two-factor model of Cairns, Blake and Dowd to the Turkish data. We compare these three models and price the future annuities using underlying models. We also analyse the effect of different mortality models on future annuity prices by calculating the commonly used risk measures. It turns out that two-factor model of Cairns, Blake and Dowd fits the Turkish male mortality better and produces more reasonable results.


Longevity, annuity, pricing, mortality models, risk measures

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