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Computational framework for longevity risk management [PDF]
Computational Management Science, 2013 Longevity risk threatens the financial stability of private and government sponsored defined benefit pension systems as well as social security schemes, in an environment already characterized by persistent low interest rates and heightened financial ...
V. D'Amato +3 more
semanticscholar +10 more sources
Longevity Risk Management and the Development of a Value-Based Longevity Index [PDF]
Risks, 2018 The design and development of post-retirement income products require the assessment of longevity risk, as well as a basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort-based value index for
Yang Chang, Michael Sherris
doaj +5 more sources
Liability-Driven Investment in Longevity Risk Management [PDF]
, 2013 This paper studies optimal investment from the point of view of an investor with longevity-linked liabilities. The relevant optimization problems rarely are analytically tractable, but we are able to show numerically that liability driven investment can ...
Helena Aro, T. Pennanen
semanticscholar +7 more sources
On Risk Management of Mortality and Longevity Capital Requirement: A Predictive Simulation Approach
Risks, 2023 In the insurance industry, life insurers are required by regulators to meet capital requirements to avoid insolvency caused by, for example, sudden mortality changes due to the COVID-19 pandemic.
Shuai Yang, Kenneth Q. Zhou
doaj +2 more sources
The Role of Longevity-Indexed Bond in Risk Management of Aggregated Defined Benefit Pension Scheme
RisksDefined benefit (DB) pension plans are a primary type of pension schemes with the sponsor assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer risks in pension plans.
Xiaoyi Zhang, Yanan Li, Junyi Guo
doaj +2 more sources
Longevity swaps for longevity risk management in life insurance products
The Journal of Risk Finance, 2020 The life insurance industry has been exposed to high levels of longevity risk born from the mismatch between realized mortality trends and anticipated forecast. Annuity providers are exposed to extended periods of annuity payments. There are no immediate
Canicio Dzingirai, Nixon S. Chekenya
semanticscholar +2 more sources
New Models for Managing Longevity Risk
, 2022 Notwithstanding the terrible price the world has paid in the Coronavirus pandemic, the fact remains that longevity at older ages is likely to continue to rise in the medium and longer term.
semanticscholar +3 more sources
Mortality-Indexed Annuities [PDF]
North American Actuarial Journal, 2009 Longevity risk has become a major challenge for governments, individuals, and annuity providers in most countries, and especially its aggregate form, i.e.
Richter, Andreas, Weber, Frederik
core +6 more sources
Cohort and value-based multi-country longevity risk management
Scandinavian Actuarial Journal, 2020 Multi-country risk management of longevity risk provides new opportunities to hedge mortality and interest rate risks in guaranteed lifetime income streams. This requires consideration of both interest rate and mortality risks in multiple countries.
M. Sherris, Yajing Xu, Jonathan Ziveyi
semanticscholar +3 more sources
Modeling and Management of Longevity Risk
SSRN Electronic Journal, 2013 In this article we review the state of play in the use of stochastic models for the measurement and management of longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that is particularly important in formulating a risk management strategy.
A. Cairns
semanticscholar +3 more sources