Pricing risk due to mortality under the Wang Transform

Abstract

The purpose of this thesis is to study the pricing of mortality risk in life annuities, when using the so-called Wang s Transform which is popular in certain quarters of actuarial science. This is a distortion operator that transforms the mortality distribution into risk-adjusted mortalities. By applying this to a given mortality table, we will price life annuities with both distributions and discuss the underlying risk of using wrong mortalities.