Ermanno Pitacco
This paper provides some introductory remarks to critical biometric aspects underlying risk identification and risk assessment for life annuity portfolios and pension funds. On the one hand, statistical evidence shows, in many populations, a deceleration in mortality increase at very old ages, in particular a non-exponential increase in the age-pattern of mortality. On the other hand, causes of this feature of the age-pattern of mortality constitute a rather controversial issue.
Nevertheless, a deceleration in the mortality increase can analytically be explained by the (reasonable) assumption of heterogeneity with respect to mortality inside a cohort, and, in particular, in terms of non-observable risk factors, which can be represented, for each individual in the population, by his/her “frailty” level. T
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