Longevity risk in portfolios of pension annuities

DOI10.1016/J.INSMATHECO.2007.01.012MaRDI QIDQ998263zbMATHOpenAlexFDO

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

zbMATH Keywords

longevity riskpension fundmortality projectionfunding ratiosolvency buffer

Mathematics Subject Classification ID

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• Modeling and forecasting U.S. mortality. (With discussion)
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• Uncertainty in mortality projections: an actuarial perspective

Cited in

(38)

• Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans
• Optimal dynamic longevity hedge with basis risk
• Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
• A partial internal model for longevity risk
• Longevity hedge effectiveness using socioeconomic indices
• Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
• The timing of annuitization: Investment dominance and mortality risk
• Modeling longevity risk with generalized dynamic factor models and vine-copulae
• scientific article; zbMATH DE number 2101239 (Why is no real title available?)
• Redistribution of longevity risk: the effect of heterogeneous mortality beliefs
• Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
• The impact of longevity and investment risk on a portfolio of life insurance liabilities
• 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
• Macro longevity risk and the choice between annuity products: evidence from Denmark
• Pooling mortality risk in eurozone state pension liabilities: an application of a Bayesian coherent multi-population cohort-based mortality model
• The economics of sharing macro-longevity risk
• Managing longevity and disability risks in life annuities with long term care
• Solvency II solvency capital requirement for life insurance companies based on expected shortfall
• Bayesian value-at-risk backtesting: the case of annuity pricing
• Assessing the solvency of insurance portfolios via a continuous-time cohort model
• Tackling longevity risk by means of financial compensation
• A linear regression approach to modeling mortality rates of different forms
• Age-specific copula-AR-GARCH mortality models
• Systematic and nonsystematic mortality risk in pension portfolios
• Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets
• Barwerte von Renten mit Dynamik
• Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
• Nash equilibria of over-the-counter bargaining for insurance risk redistributions: the role of a regulator
• Longevity risk: an empirical analysis for life annuity
• Profitability vs. attractiveness within a performance analysis of a life annuity business
• scientific article; zbMATH DE number 5522381 (Why is no real title available?)
• Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts
• Target benefit pension plan with longevity risk and intergenerational equity
• Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
• Individual post-retirement longevity risk management under systematic mortality risk

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