Longevity risk in portfolios of pension annuities

DOI10.1016/J.INSMATHECO.2007.01.012zbMATH Open1152.91586OpenAlexW2108502677MaRDI QIDQ998263FDOQ998263

Authors: Norbert Hári, Anja De Waegenaere, Bertrand Melenberg, Theo Nijman 

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.012

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• scientific article; zbMATH DE number 2101239

zbMATH Keywords

longevity riskpension fundmortality projectionfunding ratiosolvency buffer

Mathematics Subject Classification ID

Cites Work

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• Uncertainty in mortality projections: an actuarial perspective
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• Stochastic analysis in life office management: applications to large annuity portfolios

Cited In (36)

• The impact of longevity and investment risk on a portfolio of life insurance liabilities
• Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans
• Profitability vs. Attractiveness Within a Performance Analysis of a Life Annuity Business
• Title not available (Why is that?)
• Redistribution of longevity risk: the effect of heterogeneous mortality beliefs
• Longevity hedge effectiveness using socioeconomic indices
• Managing longevity and disability risks in life annuities with long term care
• Barwerte von Renten mit Dynamik
• Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
• Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
• Bayesian value-at-risk backtesting: the case of annuity pricing
• Title not available (Why is that?)
• Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
• Macro longevity risk and the choice between annuity products: evidence from Denmark
• The economics of sharing macro-longevity risk
• A Linear Regression Approach to Modeling Mortality Rates of Different Forms
• Tackling longevity risk by means of financial compensation
• Nash equilibria of over-the-counter bargaining for insurance risk redistributions: the role of a regulator
• Optimal dynamic longevity hedge with basis risk
• Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts
• Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
• Individual post-retirement longevity risk management under systematic mortality risk
• Longevity risk: an empirical analysis for life annuity
• Target benefit pension plan with longevity risk and intergenerational equity
• Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
• Systematic and Nonsystematic Mortality Risk in Pension Portfolios
• Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
• Solvency II solvency capital requirement for life insurance companies based on expected shortfall
• Assessing the solvency of insurance portfolios via a continuous-time cohort model
• An additive stochastic model of mortality rates: an application to longevity risk in reserve evaluation
• Longevity risk in pension annuities with exchange options: the effect of product design
• Modeling longevity risks using a principal component approach: a comparison with existing stochastic mortality models
• A Simple Linear Regression Approach to Modeling and Forecasting Mortality Rates
• The timing of annuitization: Investment dominance and mortality risk
• MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE
• Age-specific copula-AR-GARCH mortality models

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