Results 271 to 280 of about 1,377,161 (326)

Improving longevity risk management through machine learning

, 2021
The 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 ...
Susanna Levantesi   +2 more
semanticscholar   +4 more sources

Robust Longevity Risk Management

SSRN Electronic Journal, 2014
We 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, A. Waegenaere, B. Melenberg
semanticscholar   +2 more sources

A Bayesian Approach to Longevity Risk Management

, 2020
In 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.
Melvern Leung
semanticscholar   +2 more sources

Longevity risk management for government pension fund: Longevity bonds design

2013 6th International Conference on Information Management, Innovation Management and Industrial Engineering, 2013
The 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, Z. Guozhong
semanticscholar   +2 more sources

Optimal Longevity Risk Management in the Retirement Stage of the Life Cycle

Journal of Investing, 2018
The uncertainty in life expectancy plays a critical role in individual financial planning. Its impact is magnified during the retirement years (the wealth distribution stage of the life cycle), as new sources of income typically are not available to ...
Koray D. Simsek   +3 more
semanticscholar   +2 more sources

Longevity, Health and Housing Risks Management in Retirement

SSRN Electronic Journal, 2023
Annuities, 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
openaire   +2 more sources

Financial Engineering: A Flexible Longevity Bond to Manage Individual Longevity Risk

SSRN Electronic Journal, 2020
There 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
openaire   +1 more source

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