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A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as …

Persistent link: https://www.econbiz.de/10013363078

Special-rate life annuities : analysis of portfolio risk profiles

Pitacco, Ermanno; Tabakova, Daniela Y. - In: Risks : open access journal 10 (2022) 3, pp. 1-22

Special-rate life annuities are life annuity products whose single premium is based on a mortality assumption driven …

Persistent link: https://www.econbiz.de/10013161533

Designing annuities with flexibility opportunities in an uncertain mortality scenario

Olivieri, Annamaria - In: Risks : open access journal 9 (2021) 11, pp. 1-18

mortality/longevity experience. This way, guarantees are relaxed in respect of traditional annuity arrangements. On the other … in the case of higher mortality. Flexibility in the annuity design could be welcomed by individuals, as the conservative … factor to be used for pricing and reserving. We assume stochastic mortality, and we compare alternative mortality …

Persistent link: https://www.econbiz.de/10012703078

Longevity risk measurement of life annuity products

Diffouo, Pauline M. Ngugnie; Devolder, Pierre - In: Risks : open access journal 8 (2020) 1/31, pp. 1-16

annuity products. Within the Solvency II framework, we capture the mortality of policyholders by the mean of the Hull …

Persistent link: https://www.econbiz.de/10012203435

Time restrictions on life annuity benefits : portfolio risk profiles

Olivieri, Annamaria; Pitacco, Ermanno - In: Risks : open access journal 10 (2022) 8, pp. 1-18

Due to the increasing interest in several markets in life annuity products with a guaranteed periodic benefit, the back-side effects of some features that may prove to be critical either for the provider or the customer should be better understood. In this research, we focus on the time frames...

Persistent link: https://www.econbiz.de/10013365604

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

traditional considerations of age and sex by using modified mortality tables. However, they are not available in many countries …. In regions where life annuities are priced solely via standard mortality tables, retirees with below-average life … basis of their actual mortality probabilities, thereby mitigating actuarial inequities. Additionally, the paper examines how …

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

Malthusian stagnation is efficient

Córdoba Muñoz, Juan C.; Liu, Xiying - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 415-460

This article studies socially optimal allocations, from the point of view of a benevolent social planner, in environments characterized by fixed resources, endogenous fertility, and full information. Individuals in our environment are fully rational and altruistic toward their descendants. Our...

Persistent link: https://www.econbiz.de/10012806950

Set for life : old-age pensions provided by hospitals in late-medieval Amsterdam

Zuijderduijn, C. Jaco - 2025

Hospitals were among the wealthiest organizations in medieval cities. Their directors managed portfolios consisting of real estate and financial instruments; as a result, they also handled large quantities of money. It has been suggested that they used these to provide a variety of financial...

Persistent link: https://www.econbiz.de/10015398532

Immunization strategies for funding multiple inflation-linked retirement income benefits

Simões, Cláudia; Oliveira, Luís; Bravo, Jorge Miguel … - In: Risks : open access journal 9 (2021) 4, pp. 1-28

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional and private investors must solve when managing post-retirement income benefits. This paper empirically investigates the performance of alternative immunization strategies...

Persistent link: https://www.econbiz.de/10012508594

A historical welfare analysis of Social Security : whom did the program benefit?

Peterman, William B.; Sommer, Kamila - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1357-1399

A well‐established result in the literature is that Social Security reduces steady state welfare in a standard life cycle model. However, less is known about the historical quantitative effects of the program on agents who were alive when the program was adopted. In a computational life cycle...

Persistent link: https://www.econbiz.de/10012202816