Assessing Investment and Longevity Risks within Immediate Annuities

Assessing Investment and Longevity Risks within Immediate Annuities

Life annuities provide a guaranteed income for the remainder of the recipient’s lifetime, and therefore, annuitization presents an important option when choosing an adequate investment strategy for the retirement ages. While there are numerous research articles studying annuities from a pensioner’s point of view, thus far there have been few contributions considering annuities from the provider...

Longevity and Annuities: an Introduction

For decades the debate on pensions has focused on the “accumulation phase” of the life-cycle. Many specific research topics have been explored as this literature has developed. However, they were all in one way or another concerned by the adequacy of saving. In other words, the main focus of the existing literature has been on the question of setting enough resources aside to keep the flow of c...

Entropy, Longevity and the Cost of Annuities

securitization of mortality risks in life annuities

insurers have in the past few decades faced longevity risks - the risk that annuitants survive more than expected - and therefore need a new approach to manage this new risk. in this dissertation we survey methods that hedge longevity risks. these methods use securitization to manage risk, so using modern financial and insurance pricing models, especially wang transform and actuarial concepts, ...

Securitization of Mortality Risks in Life Annuities

The purpose of this paper is to study mortality-based securities, such as mortality bonds and swaps, and to price the proposed mortality securities. We focus on individual annuity data, although some of the modeling techniques could be applied to other lines of annuity or life insurance. Date: March 30, 2004. A very early version was presented at a seminar at the University of Waterloo, Departm...