redistribution of accidental bequests and private annuities in general equilibrium. Individuals face longevity risk as there is a …

generations model, using stochastic mortality projections as inputs. In a traditional pension scheme with no automatic longevity …

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

external effects. Individual agents differ in terms of their mortality profile. At birth, nature assigns a health status to … longevity risk, agents want to annuitize their wealth conform the classic result by Yaari (1965). In the first-best case with …

In this paper we explore the implication of a morbidity risk for the relationship between longevity and annuitization …

Annuity contracts typically deliver a stream of income at a predetermined level in order to insure against the risk of … survival, a predetermined and "one-size-fits-all" annuity plan is optimal. If an expenditure risk is added along with the … longevity risk, a flexible annuity plan is better even though the consumption path cannot be isolated from uninsured expenses …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

literature that, when there is (only) risk type uncertainty, the optimal GR contract with renewal price set at the actuarially … fair price for low risk types provides full insurance against reclassification risk. We develop a model that includes … unpredictable (and unobservable) fluctuations in demand for life insurance as well as changes in risk type (observable) over …