Search Results - subject:"longevity risk"

On the economics of the longevity risk transfer market

Börger, Matthias; Freimann, Arne; Ruß, Jochen - In: Journal of Risk and Insurance 90 (2023) 3, pp. 597-632

We present a model of a longevity risk transfer market with different market players (primary insurers, reinsurers, and … saturation. We find that reinsurers' appetite for longevity risk is the key driver in the early stage of market development … should assume the entire longevity risk from primary insurers, diversify it within their business mix, and subsequently pass …

Persistent link: https://www.econbiz.de/10014504278

On the economics of the longevity risk transfer market

Börger, Matthias; Freimann, Arne; Ruß, Jochen - In: The journal of risk & insurance 90 (2023) 3, pp. 597-632

Persistent link: https://www.econbiz.de/10014364554

Optimal control problem for hybrid pension plans under longevity risk for alpha-maxmin expected utility minimization

Chen, Ya; Liu, Wei; Zhao, Zhen - 2025

Persistent link: https://www.econbiz.de/10015359797

Uncertainty in pricing and risk measurement of survivor contracts

So, Kenrick Raymond; Cruz, Stephanie Claire; Marcella, … - In: Risks : open access journal 13 (2025) 2, pp. 1-25

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such …

Persistent link: https://www.econbiz.de/10015334597

Longevity risk and annuitisation decisions in the absence of special-rate life annuities

Andrés Sánchez, Jorge de; González-Vila Puchades, Laura - In: Risks : open access journal 13 (2025) 2, pp. 1-27

Longevity risk affecting older adults can be transferred to the insurance market by purchasing a lifetime annuity … annuitisation strategy for these retirees. The strategy allows them to transfer longevity risk by acquiring a life annuity on the …

Persistent link: https://www.econbiz.de/10015334621

Mean-variance longevity risk-sharing for annuity contracts

Hanbali, Hamza - In: Insurance : mathematics and economics 120 (2025), pp. 207-235

Persistent link: https://www.econbiz.de/10015431896

Benefit volatility-targeting strategies in lifetime pension pools

Bégin, Jean-François; Sanders, Barbara - In: Insurance : mathematics and economics 118 (2024), pp. 72-94

Persistent link: https://www.econbiz.de/10015067021

A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population

Euthum, Maximilian; Scherer, Matthias; Ungolo, Francesco - In: European Actuarial Journal 14 (2024) 2, pp. 495-524

A Neural Network (NN) approach for the modelling of mortality rates in a multi-population framework is compared to three classical mortality models. The NN setup contains two instances of Recurrent NNs, including Long Short-Term Memory (LSTM) and Gated Recurrent Units (GRU) networks. The...

Persistent link: https://www.econbiz.de/10015393808

Adding shocks to a prospective mortality model

Planchet, Frédéric; Plaine, Guillaume Gautier de la - In: Risks : open access journal 12 (2024) 3, pp. 1-18

This work proposes a simple model to take into account the annual volatility of the mortality level observed on the scale of a country like France in the construction of prospective mortality tables. By assigning a frailty factor to a basic hazard function, we generalise the Lee-Carter model....

Persistent link: https://www.econbiz.de/10014497411

Addressing the economic and demographic complexity via a neural network approach : risk measures for reverse mortgages

Di Lorenzo, Emilia; Piscopo, Gabriella; Sibillo, Marilena - In: Computational management science 21 (2024) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10014442633