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Improving longevity risk management through machine learning
2021The changes in mortality trends strongly impact on pricing and reserve allocation of life annuities and on the sustainability of social security systems. In 2012, the International Monetary Fund estimated that each additional year of life expectancy added about 3%–4% to the present value of the liabilities of a typical defined benefit pension fund ...
Levantesi, S., Nigri, A., Piscopo, G.
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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, Health and Housing Risks Management in Retirement
SSRN Electronic Journal, 2023Annuities, long-term care insurance and reverse mortgages remain unpopular to manage longevity, medical and housing price risks after retirement. We analyze low demand using a life-cycle model structurally estimated with a unique stated-preference survey experiment of Canadian households.
Pierre-Carl Michaud, Pascal St-Amour
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Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk
SSRN Electronic Journal, 2020There is a significant potential demand in many countries around the world for a flexible product to manage individual longevity risk arising from the prevalence of defined contribution pensions, uncertainty in improvements in life expectancy, potential reductions in public pensions and a lack of suitable longevity insurance products.
Yuxin Zhou +3 more
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Longevity risk management for government pension fund: Longevity bonds design
2013 6th International Conference on Information Management, Innovation Management and Industrial Engineering, 2013The longevity risk of individuals has been underestimated for many years. With the deepening of aging degree, the management of longevity risks has become a serious problem to government pension fund. This paper investigates the hedging strategies for longevity risk management using securitized products.
Shang Qin, Zhang Guozhong
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Individual post-retirement longevity risk management under systematic mortality risk
Insurance: Mathematics and Economics, 2013Abstract This paper analyzes an individual’s post-retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi-period simulations of portfolio strategies are used to assess individual longevity insurance product portfolios with
Katja Hanewald +2 more
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The Challenge of Managing Longevity Risk
2005It is primarily longevity risks which are borne by pension, annuity and long-term care products. The demand for such products has been increasing rapidly, leading to rising concerns about how longevity risks should be properly managed. Difficulties in making long-term forecasts for life expectancies, adverse selection, shortsightedness, and moral ...
Petra Riemer-Hommel, Thomas Trauth
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A Bayesian Approach to Longevity Risk Management
2020In this thesis, we apply three Bayesian econometric tools in the area of longevity risk management. Firstly, we develop an algorithm to Mortality modelling under the Bayesian state-space framework. Our framework allows for efficient and fast estimation of model parameters.
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Managing Longevity Risk – The Case for Longevity-Indexed Variable Expiration (LIVE) Bonds
SSRN Electronic Journal, 2018There is an annuity puzzle in that despite the welfare gains to individuals and society from consumers purchasing annuities, the actual allocation to these instruments by individuals is very low. Many explanations have been provided including adverse selection, complexity and inflexibility of the annuity contract, bequest motive etc.
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