Search Results - subject_exact:"Longevity risk"

Defaulting 401(k) assets into payout annuities for "pretty good" lifetime incomes

Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654830

Guaranteed annuity option under correlated and regime-switching risks

Grozen, Jude Martin B.; Mamon, Rogemar S. - 2026

Guaranteed annuity options (GAOs) allow policyholders to convert accumulated funds into life annuities at maturity at a guaranteed minimum rate. Thus, insurers are exposed to both investment and longevity risks. Accurate valuation of these long-term, survival-contingent contracts is essential...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615258

Defaulting 401(k) assets into payout annuities for "pretty good" lifetime incomes

Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2026

Some US defined contribution plans offer retirees access to an annuity or lifetime income stream as payout options from their 401(k) accounts. Nevertheless, for behavioral reasons, some retirees may hesitate to elect lifetime income streams as a drawdown vehicle. To counter this, plan sponsors...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651068

Uncertainty in pricing and risk measurement of survivor contracts

So, Kenrick Raymond; Cruz, Stephanie Claire; Marcella, … - 2025

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on the appropriate mortality model and premium principle to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334597

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

Andrés Sánchez, Jorge de; González-Vila Puchades, Laura - 2025

Longevity risk affecting older adults can be transferred to the insurance market by purchasing a lifetime annuity. Special-rate life annuities, which are priced, among other factors, on the basis of health and lifestyle factors, go beyond traditional considerations of age and sex by using...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334621

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, ebvufind01.dmz1.zbw.eu/10015359797

Mean-variance longevity risk-sharing for annuity contracts

Hanbali, Hamza - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015431896

Solvency analysis of deferred annuities

Gasimova, Khadija; Haberman, Steven; Millossovich, Pietro - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593636

Stochastic assessment of special-rate life annuities

Olivieri, Annamaria; Tabakova, Daniela - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593641

Show one more version 1

Stochastic assessment of special-rate life annuities

Olivieri, Annamaria; Tabakova, Daniela - 2024

Book / Working Paper

Return smoothing in pooled annuity products

Kabuche, Doreen; Sherris, Michael; Villegas, Andrés M.; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593642

Time-varying pareto optimal risk sharing for annuities

Hanbali, Hamza; Warnakulasooriya, Himasha; Leung, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550246

Understanding reverse mortgage acceptance in Spain with explainable machine learning and importance-performance map analysis

Andrés Sánchez, Jorge de; González-Vila Puchades, Laura - 2025

In developed countries such as Spain, where the population is increasingly aging, retirement planning and longevity risk represent major societal challenges. In Spain, in particular, a significant proportion of household wealth is concentrated in real estate, primarily in the form of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556334

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 - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015393808

Benefit volatility-targeting strategies in lifetime pension pools

Bégin, Jean-François; Sanders, Barbara - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015067021

A simplifed model for measuring longevity risk for life insurance products

Atance, David; Navarro Arribas, Eliseo - 2024

In this paper, we propose a simple dynamic mortality model to ft and forecast mortality rates for measuring longevity and mortality risks. This proposal is based on a methodology for modelling interest rates, which assumes that changes in spot interest rates depend linearly on a small number of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014535406

Adding shocks to a prospective mortality model

Planchet, Frédéric; Plaine, Guillaume Gautier de la - 2024

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, ebvufind01.dmz1.zbw.eu/10014497411

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

Di Lorenzo, Emilia; Piscopo, Gabriella; Sibillo, Marilena - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014442633

Longevity hedge effectiveness using socioeconomic indices

Kallestrup-Lamb, Malene; Laursen, Nicolai Søgaard - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015049396

Estimation, comparison and projection of multi-factor age-cohort affine mortality models

Ungolo, Francesco; Garces, Len Patrick Dominic M.; … - 2023 - [Revision]

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014458542

AffineMortality : an R package for estimation, analysis and projection of affine mortality models

Ungolo, Francesco; Garces, Len Patrick Dominic M.; … - 2023 - [Revision]

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014458564

A Leveraged Gender Gap : The Combined Effect of Longevity Risk (Mis)-Perception and Financial Risk-Taking

Apicella, Giovanna; De Giorgi, Enrico - 2023

Financial risk and longevity risk are the main risks affecting pension income. This paper analyses gender differences related to how financial risk taking and survival expectations are correlated. We analyse data from the “Survey of Health, Ageing and Retirement in Europe” (SHARE) database...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014254707

Should selection of the optimum stochastic mortality model be based on the original or the logarithmic scale of the mortality rate?

Santolino, Miguel - 2023

Stochastic mortality models seek to forecast future mortality rates; thus, it is apparent that the objective variable should be the mortality rate expressed in the original scale. However, the performance of stochastic mortality models-in terms, that is, of their goodness-of-fit and prediction...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014391729

Does rapid mortality improvement resolve the annuity puzzle? : evidence from South Korea

Lee, Dong-Hwa; Kim, HyunJung; Kim, Daehwan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447409

Target benefit pension with longevity risk and stochastic interest rate valuation

Tao, Cheng; Rong, Ximin; Zhao, Hui - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015431899

Revisiting key mortality rate models : novel findings and application of CIR processes to describe mortality trends

Atance, David; Navarro Arribas, Eliseo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593647

Pareto-optimal risk exchange in a continuous-time economy : application to target benefit pension

Tao, Cheng; Shen, Yang; Siu, Tak Kuen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550241

Financing long-term care in Portugal : is there a role for home equity release schemes?

Bravo, Jorge Miguel Ventura; Gonçalves, João - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638385

Longevity risk, health state transitions, and the demand for insurance

Deng, Ruihan; Hu, Xiang; Zeng, Yi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639583

Pricing longevity bonds using a generalised Vasicek term structure model with correlated mortality and interest rates

Kalu, Georgina Onuma; Ikpe, Dennis; Oruh, Ben Ifeanyichukwu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650793

Neural network Lee-Carter model and the actuarial relevance of longevity risk assessment

Apicella, Giovanna; Rocca, Michele la; Perna, Cira; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534577

New models for managing longevity risk : public-private partnerships

2022

Notwithstanding the terrible price the world has paid in the Coronavirus pandemic, the fact remains that longevity at older ages is likely to continue to rise in the medium and longer term. This volume explores how the private and public sectors can collaborate via public-private partnerships...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013482231

Show one more version 1

New Models for Managing Longevity Risk: Public-Private Partnerships

2022

Book / Working Paper

Pricing longevity bonds under a credibility framework with limited available data

Bozikas, Apostolos; Badounas, Ioannis; Pitselis, Georgios - 2022

For annuity providers, a higher life expectancy is not always positive news, as it potentially implies increased future costs, since benefits must be provided over a longer period of time. The underlying risk behind the unexpected improvement in life expectancy is called longevity risk. One way...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013359049

A stochastic model for capital requirement assessment for mortality and longevity risk, focusing on idiosyncratic and trend components

Clemente, Gian Paolo; Della Corte, Francesco; Savelli, Nino - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013469925

A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - 2022

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013363078

Extensions on the Hatzopoulos-Sagianou multiple-components stochastic mortality model

Sagianou, Aliki; Hatzopoulos, Peter - 2022

In this paper, we present extensions of the Hatzopoulos-Sagianou (2020) (HS) multiple-component stochastic mortality model. Our aim is to thoroughly evaluate and stress test the HS model by deploying various link functions, using generalised linear models, and diverse distributions in the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013365106

Time restrictions on life annuity benefits : portfolio risk profiles

Olivieri, Annamaria; Pitacco, Ermanno - 2022

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, ebvufind01.dmz1.zbw.eu/10013365604

Mandatory annuitization and money's worth : evidence from Singapore

Fong, Joelle H.; Li, Jackie - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013269961

Coping with longevity via hedging : fair dynamic valuation of variable annuities

Chen, Ze; Feng, Runhuan; Li, Hong; Yang, Tianyu - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015066964

Sequence and longevity risks of South Korean retirees : insights and potential remedies

Ko, Hyungjin; Lee, Seungyun; Lee, Jaewook - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014491149

Working longer or working harder? : subjective survival expectations and labor supply in China

Yang, Qianqian; Ye, Zihan; Chen, Rongda - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014492263

Pension funds with longevity risk : an optimal portfolio insurance approach

Di Giacinto, Marina; Mancinelli, Daniele; Marino, Mario; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357881

Spatial natural hedging : a general framework with application to the mortality of U.S. states

Cupido, Kyran; Jevtić, Petar; Regis, Luca; Zhou, Kenneth Q. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015188241

Optimal allocation for stock market-excluded retirees : effects of interest rates, longevity risk, and upfront fees

Mills, Ebenezer Atta; Anyomi, Siegfried Kafui; Koumba, Ur; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195518

A behavioral gap in survival beliefs

Apicella, Giovanna; De Giorgi, Enrico - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014545173

A sustainable, variable lifetime retirement income solution for the Chilean pension system

Fuentes, Olga; Fullmer, Richard K.; García-Huitrón, Manuel - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014583134

Machine learning in long-term mortality forecasting

Qiao, Yang; Wang, Chou-Wen; Zhu, Wenjun - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014583165

The Religious Roots of Longevity Risk Sharing : The Genesis of Annuity Funds in the Scottish Enlightenment and the Path to Modern Pension Management

Milevsky, Moshe Arye - 2024

PART ONE: A BLESSED OLD AGE -- Chapter 1: DO YOU BELIEVE IN PENSIONS? -- Chapter 2: LONGEVITY RISK AND RELIGION -- Chapter 3: THE BENEFITS OF POOLING -- PART TWO: CHURCH & UNIVERSITY -- Chapter 4: AN ENLIGHTENED FINANCIAL INNOVATION -- Chapter 5: A PRESBYTERIAN SCHEME FOR MINISTERS -- Chapter 6:...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014577560

On the market-consistent valuation of participating life insurance heterogeneous contracts under longevity risk

Bacinello, Anna Rita; Chen, An; Sehner, Thorsten; … - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200690

Multi-factor, age-cohort, affine mortality models : a multi-country comparison

Ungolo, Francesco; Sherris, Michael; Zhou, Yuxin - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012628986

Affine mortality : a Github repository for estimation, analysis and projection of affine mortality models

Ungolo, Francesco; Sherris, Michael; Zhou, Yuxin - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012628991