Results 11 to 20 of about 410,288 (305)
Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds [PDF]
North American Actuarial Journal, 2010 Government-issued longevity bonds would allow longevity risk to be shared efficiently and fairly between generations. In exchange for paying a longevity risk premium, the current generation of retirees can look to future generations to hedge their systematic longevity risk.
Blake, David +2 more
openaire +5 more sources
Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II. [PDF]
, 2016 Longevity risk constitutes an important risk factor for life insurance companies, and it can be managed through longevity-linked securities. The market of longevity-linked securities is at present far from being complete and does not allow finding a ...
Helena Leino-Kilpi (3471101) +5 more
core +7 more sources
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
doaj +1 more source
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
doaj +1 more source
Familial Risk for Exceptional Longevity [PDF]
North American Actuarial Journal, 2015 One of the most glaring deficiencies in the current assessment of mortality risk is the lack of information concerning the impact of familial longevity. In this work, we update estimates of sibling relative risk of living to extreme ages using data from more than 1,700 sibships, and we begin to examine the trend for heritability for different birth ...
Paola, Sebastiani +8 more
openaire +2 more sources
Risks, 2023 Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models—in terms, that is,
Miguel Santolino
doaj +1 more source
Changes of Relation in Multi-Population Mortality Dependence: An Application of Threshold VECM
Risks, 2019 Standardized longevity risk transfers often involve modeling mortality rates of multiple populations. Some researchers have found that mortality indexes of selected countries are cointegrated, meaning that a linear relationship exists between the indexes.
Rui Zhou, Guangyu Xing, Min Ji
doaj +1 more source
Time Restrictions on Life Annuity Benefits: Portfolio Risk Profiles
Risks, 2022 Due to the increasing interest in several markets in life annuity products with a guaranteed periodic benefit, the back-side effects of some features that may prove to be critical either for the provider or the customer should be better understood.
Annamaria Olivieri, Ermanno Pitacco
doaj +1 more source
Single and cross-generation natural hedging of longevity and financial risk [PDF]
, 2012 The paper provides natural hedging strategies among death benefits and annuities written on a single and on different generations. It obtains closed-form Delta and Gamma hedges, in the presence of both longevity and interest rate risk.
Luciano, Elisa +2 more
core +2 more sources
The Myth of Methuselah and the Uncertainty of Death: The Mortality Fan Charts
Risks, 2016 This paper uses mortality fan charts to illustrate prospective future male mortality. These fan charts show both the most likely path of male mortality and the bands of uncertainty surrounding that path.
Kevin Dowd +2 more
doaj +1 more source