Forward Mortality Rates in Discrete Time II: Longevity Risk and Hedging Strategies
North American Actuarial Journal, 2020 Longevity risk has emerged as an important risk in the early 21st century for the providers of pension benefits and annuities. Any changes in the assumptions for future mortality rates can have a major financial impact on the valuation of these ...
A. Hunt, D. Blake
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The modern tontine: An innovative instrument for longevity risk management in an aging society
, 2020 The changing social, financial and regulatory frameworks, such as an increasingly aging society, the current low interest rate environment, as well as the implementation of Solvency II, lead to the search for new product forms for private pension ...
Jan-Hendrik Weinert, Helmut Gründl
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Hedging longevity risk in defined contribution pension schemes [PDF]
Computational Management Science, 2019 Pension schemes all over the world are under increasing pressure to efficiently hedge longevity risk imposed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme that decides to hedge ...
Ankush Agarwal, C. Ewald, Yongjie Wang
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The Effect of Alzheimer’s Disease-Associated Genetic Variants on Longevity
Frontiers in Genetics, 2021 Human longevity is influenced by the genetic risk of age-related diseases. As Alzheimer’s disease (AD) represents a common condition at old age, an interplay between genetic factors affecting AD and longevity is expected.
Niccolò Tesi +19 more
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Still living with mortality: the longevity risk transfer market after one decade
British Actuarial Journal, 2019 This paper updates Living with Mortality published in 2006. It describes how the longevity risk transfer market has developed over the intervening period, and, in particular, how insurance-based solutions – buy-outs, buy-ins and longevity insurance ...
David P. Blake +3 more
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Multivariate Risk-Neutral Pricing of Reverse Mortgages under the Bayesian Framework
Risks, 2019 In this paper, we suggest a Bayesian multivariate approach for pricing a reverse mortgage, allowing for house price risk, interest rate risk and longevity risk.
Jackie Li, Atsuyuki Kogure, Jia Liu
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Designing Annuities with Flexibility Opportunities in an Uncertain Mortality Scenario
Risks, 2021 We consider annuity designs in which the benefit amount is allowed to fluctuate (up or down), based on a given mortality/longevity experience. This way, guarantees are relaxed in respect of traditional annuity arrangements.
Annamaria Olivieri
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Optimal post-retirement investment and consumption under longevity risk in collective funds
Scandinavian Actuarial JournalWe study the optimal investment-consumption problem for a homogeneous collective of n individuals subject to longevity risk with Epstein–Zin preferences. Our focus is on longevity risk, so for simplicity, we use the Black–Scholes model for assets.
John Armstrong, Cristin Buescu, J. Dalby
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Longevity of companion dog breeds: those at risk from early death
Scientific ReportsThe companion dog is one of the most phenotypically diverse species. Variability between breeds extends not only to morphology and aspects of behaviour, but also to longevity.
Kirsten M McMillan +5 more
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Computational framework for longevity risk management [PDF]
Computational Management Science, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
RUSSOLILLO, Maria +3 more
openaire +7 more sources