Individual post-retirement longevity risk management under systematic mortality risk

DOI10.1016/J.INSMATHECO.2012.11.002MaRDI QIDQ2252283zbMATH OpenOpenAlexFDO

Authors Katja Hanewald, John Piggott, Michael Sherris

Publication date 16 July 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2012.11.002

zbMATH Keywords

group self-annuitization (GSA)life annuitylongevity riskmarket frictionsoptimal insurance

Mathematics Subject Classification ID

Mathematical geography and demography (91D20) Portfolio theory (91G10)

Recommendations

• Systematic and nonsystematic mortality risk in pension portfolios
• Longevity risk management for individual investors
• Optimal post-retirement consumption and portfolio choices with idiosyncratic individual mortality force and awareness of mortality risk
• Lifetime asset allocation with idiosyncratic and systematic mortality risks
• A dynamic equivalence principle for systematic longevity risk management
• Cohort and value-based multi-country longevity risk management
• Modelling and management of longevity risk: approximations to survivor functions and dynamic hedging
• Computational framework for longevity risk management
• Longevity risk in portfolios of pension annuities
• A partial internal model for longevity risk

Cited in

(29)

• Valuation of longevity-linked life annuities
• Macro longevity risk and the choice between annuity products: evidence from Denmark
• Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach
• Fees in tontines
• Modern tontine with bequest: innovation in pooled annuity products
• Optimal annuity demand for general expected utility agents
• Fair retirement under risky lifetime
• Semi-static hedging of variable annuities
• Actuarial fairness and solidarity in pooled annuity funds
• Equitable retirement income tontines: mixing cohorts without discriminating
• Lifetime asset allocation with idiosyncratic and systematic mortality risks
• Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk
• Solvency measurement of life annuity products
• Tail index-linked annuity: a longevity risk sharing retirement plan
• An innovative design of flexible, bequest-enhanced life annuity with natural hedging
• Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
• Hedging longevity risk in defined contribution pension schemes
• Optimal post-retirement consumption and portfolio choices with idiosyncratic individual mortality force and awareness of mortality risk
• Actuarial fairness and social welfare in mixed-cohort tontines
• Benefit volatility-targeting strategies in lifetime pension pools
• Return smoothing in pooled annuity products
• Individual survivor fund account: the impact of bequest motives on tontine participation
• The tontine puzzle
• Fairness and risk sharing in integrated LRD-tontine schemes under Volterra mortality risk
• Mean-variance longevity risk-sharing for annuity contracts
• Optimal hurdle rate and investment policy in lifetime pension pools
• Balancing Annuities and Tontines: A Study of Temporal Risk Aversion in Retirement Planning
• Computational framework for longevity risk management
• The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?

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