Redistribution of longevity risk: the effect of heterogeneous mortality beliefs

DOI10.1016/J.INSMATHECO.2016.11.004zbMATH Open1394.91190OpenAlexW2557892495MaRDI QIDQ506085FDOQ506085

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

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zbMATH Keywords

longevity riskheterogeneous beliefsNash bargainingnatural hedge potentialrisk redistribution

Mathematics Subject Classification ID

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

Cites Work

• On stochastic mortality modeling
• The bargaining problem
• Perfect Equilibrium in a Bargaining Model
• Title not available (Why is that?)
• Nonsymmetric Nash solutions and replications of 2-person bargaining
• The Core of an N Person Game
• Excess based allocation of risk capital
• Title not available (Why is that?)
• Natural hedging of life and annuity mortality risks
• The Nash bargaining solution is optimal
• Nash equilibria of over-the-counter bargaining for insurance risk redistributions: the role of a regulator
• Utility Functions
• The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
• On the optimal product mix in life insurance companies using conditional value at risk
• Two-person insurance negotiation
• Longevity risk in portfolios of pension annuities
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Parametric mortality improvement rate modelling and projecting
• Evaluating the goodness of fit of stochastic mortality models
• Title not available (Why is that?)
• Optimal risk sharing with different reference probabilities
• The coalitional Nash bargaining solution
• Bringing cost transparency to the life annuity market
• The choice of sample size for mortality forecasting: a Bayesian learning approach
• A cautionary note on natural hedging of longevity risk
• On the effectiveness of natural hedging for insurance companies and pension plans

Cited In (8)

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

Uses Software

• LifeMetrics

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