Redistribution of longevity risk: the effect of heterogeneous mortality beliefs

DOI10.1016/J.INSMATHECO.2016.11.004MaRDI QIDQ506085zbMATH OpenOpenAlexFDO

Authors Tim J. Boonen, Anja De Waegenaere, Henk Norde

Publication date 31 January 2017

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

Full work available at URL http://dare.uva.nl/personal/pure/en/publications/redistribution-of-longevity-risk-the-effect-of-heterogeneous-mortality-beliefs(3c226c94-c3bc-4743-aacb-57f03ce4b7eb).html

zbMATH Keywords

longevity riskheterogeneous beliefsNash bargainingnatural hedge potentialrisk redistribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• A cautionary note on natural hedging of longevity risk
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• Longevity hedge effectiveness: a decomposition

Cites work

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• scientific article; zbMATH DE number 3078999 (Why is no real title available?)
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• Nonsymmetric Nash solutions and replications of 2-person bargaining
• On stochastic mortality modeling
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• Parametric mortality improvement rate modelling and projecting
• Perfect Equilibrium in a Bargaining Model
• The Core of an N Person Game
• The Nash bargaining solution is optimal
• The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
• The bargaining problem
• The choice of sample size for mortality forecasting: a Bayesian learning approach
• The coalitional Nash bargaining solution
• Two-person insurance negotiation
• Utility Functions

Cited in

(8)

• Multi-constrained optimal reinsurance model from the duality perspectives
• Socioeconomic differentials in mortality: implications on index-based longevity hedges
• Intergenerational redistribution and risk sharing with changing longevity
• Bilateral risk sharing in a comonotone market with rank-dependent utilities
• On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
• Manage pension deficit with heterogeneous insurance
• Bilateral risk sharing with heterogeneous beliefs and exposure constraints
• COGNITION, OPTIMISM, AND THE FORMATION OF AGE‐DEPENDENT SURVIVAL BELIEFS

Describes a project that uses

Uses Software

• LifeMetrics

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