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Robust Longevity Risk Management
SSRN Electronic Journal, 2014We consider longevity risk hedging problems, where survivor swaps are available as hedging instruments. As objective functions we consider the mean-variance and the mean-conditional-value-at-risk of the hedged liabilities, evaluated using an estimated probability law governing the mortality dynamics.
Hong Li +2 more
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Longevity risk in living benefits [PDF]
, 2004 Uncertainty in mortality and disability trends, from which the longevity risk in living benefits arises, is discussed. The financial impact of longevity risk on life annuities, sickness benefits for the elderly and long-term care covers is then analysed, focussing in particular solvency requirements and reinsurance arrangements.
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- International Longevity Risk Pooling
2018This paper studies the problem of an insurance company that has to decide whether to expand her portfolio of policies selling contracts written on a foreign population. We quantify diversification across populations and cohorts using a parsimonious continuous-time model for longevity risk. We present a calibrated example, based on annuity portfolios of
elisa luciano, luca regis
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Local risk‐minimization with longevity bonds
Applied Stochastic Models in Business and Industry, 2014AbstractThis paper studies the criterion of local risk‐minimization for life insurance contracts in a financial market, which includes longevity bonds. The longevity bond is a bond specifying payments, which are linked to the current number of survivors in a given portfolio of insured lives.
Henriksen, Lars Frederik Brandt +1 more
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2017
This chapter examines the insurance and pension-related risks arising from the uncertainty of human life-length, which constitute the most important part of a major class of insurance risks sometimes referred to under the umbrella term biometric risks.
Erzsébet Kovács, Péter Vékás
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This chapter examines the insurance and pension-related risks arising from the uncertainty of human life-length, which constitute the most important part of a major class of insurance risks sometimes referred to under the umbrella term biometric risks.
Erzsébet Kovács, Péter Vékás
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Biocultural risks in longevity: Samoans in California
Social Science & Medicine, 1982Because migration is such a widespread phenomenon, studies of the effects of accompanying life change on the health and well-being of the migrant have special significance in areas like California that support large migrant communities. Previous studies have shown that increased weight and elevated blood pressure may be linked to changes in diet ...
I G, Pawson, G, Janes
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Rapamycin: Risking Harm for Canine Longevity
The American Journal of Bioethics, 2018Because the average life expectancy of a dog (10–13 years) is so much shorter than the average human life span, most canine guardians desire that their dogs live longer (healthy) lives.
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Risk-return appraisal of longevity swaps
2014The authors show that the transfer of longevity risk through derivatives, such as longevity swaps, usually decreases the overall risk of a pension fund, while also decreasing expected returns, thus resulting in efficient outcomes. In some cases, however, this may increase the overall risk.
Luciano Elisa, Regis Luca
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Exotic Annuities for Longevity Risk
2020This chapter motivates—and offers recipes for valuing—a unique type of life annuity that is contingent on the performance of a stock market index or portfolio. It is christened a ruin-contingent life annuity (RCLA), a contingent claim that is also the foundation of all variable annuities (VAs) with guaranteed withdrawal benefits.
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The longevity risk: actuarial perspectives
2009Abstract The assessment of longevity risk requires a stochastic representation of mortality. Possible approaches are described in Section 7.2, which is also devoted to an analysis of the impact of longevity risk on the risk profile of the provider.
Ermanno Pitacco +3 more
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