Results 1 to 10 of about 118,574 (118)
Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
Risks, 2019 This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity portfolio. Although longevity swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as ...
Man Chung Fung +2 more
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Risks, 2020 We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged.
Uditha Balasooriya +2 more
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The statistical distribution of changes in expected life length choice effect for the determination of parameters for longevity risk swaps [PDF]
Zeszyty Naukowe PTE w Zielonej Górze, 2022 The aim of this study is to verify the impact of the statistical distribution of changes in life expectancy selection on the determination of longevity risk swap parameters.
Norbert Duczkowski
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Pricing Longevity Bonds under a Credibility Framework with Limited Available Data
Risks, 2022 For annuity providers, a higher life expectancy is not always positive news, as it potentially implies increased future costs, since benefits must be provided over a longer period of time.
Apostolos Bozikas +2 more
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ADAPTED PRESTON’S CURVE: A PROXY METHOD FOR LONGEVITY RISK ANALYSIS ON INDONESIAN PENSION PLAN
Barekeng, 2023 Future lifetime will increase as both the standard of living and the health insurance system develop. This increase will have an effect on financial contracts' actuarial present values, particularly the liabilities of pension funds. Longer-lived retirees
Danang Teguh Qoyyimi +1 more
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FinTech, 2023 Longevity is without a doubt on the rise throughout the world due to advances in technology and health. Since 1960, Ghana’s average annual mortality improvement has been about 1.236%.
Samuel Asante Gyamerah +3 more
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Valuation of reverse mortgages in the Spanish market for foreign residents
Technological and Economic Development of Economy, 2023 The continuous growth in life expectancy, besides to the difficult economic and financial situation of the public pension system in Spain, makes reverse mortgages an attractive solution for providing additional income to retirees. However, despite being
David Atance +2 more
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A Managed Volatility Investment Strategy for Pooled Annuity Products
Risks, 2022 Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products.
Shuanglan Li +3 more
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Risks, 2021 The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk.
Anna Rita Bacinello +3 more
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Extensions on the Hatzopoulos–Sagianou Multiple-Components Stochastic Mortality Model
Risks, 2022 In this paper, we present extensions of the Hatzopoulos–Sagianou (2020) (HS) multiple-component stochastic mortality model. Our aim is to thoroughly evaluate and stress test the HS model by deploying various link functions, using generalised linear ...
Aliki Sagianou, Peter Hatzopoulos
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