Longevity Risk
نویسندگان
چکیده
منابع مشابه
Robust Hedging of Longevity Risk
We consider situations where a pension plan has opted to hedge its longevity risk using an index-based longevity hedging instrument such as a q-forward or deferred longevity swap. The use of index-based hedges gives rise to basis risk, but benefits, potentially, from lower costs to the hedger and greater liquidity. We focus on quantification of optimal hedge ratios and hedge effectiveness and i...
متن کاملMortality Compression and Longevity Risk
Mortality improvements, especially of the elderly, have been a common phenomenon since the end of World War II. The longevity risk becomes a major concern in many countries because of underestimating the scale and speed of prolonged life. In this study, we explore the increasing life expectancy by examining the basic properties of survival curves. Specifically, we check if there are signs of mo...
متن کاملEvidence on Individual Preferences for Longevity Risk
Evidence on Individual Preferences for Longevity Risk The standard model of intertemporal choice assumes risk neutrality toward the length of life: due to additivity, agents are not sensitive to a mean preserving spread in the length of life. Using a survey fielded in the RAND American Life Panel (ALP), this paper provides empirical evidence on possible deviation from risk neutrality with respe...
متن کاملAlternative Risk Transfer for Longevity and Mortality
The paper deals with Alternative Risk Transfer (ART) through securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described including methods of their pricing and real examples (e.g. CATM bonds, longevity bonds, mortality forwards and futures, mortality swaps, and others). Hypothetical calculations ...
متن کاملPricing the Risk on Longevity Bonds
The impact of increasing longevity on pension provision has become a major concern recently. More effective management of longer-term mortality risk has been made possible following a recent and innovative bond issue. We analyse the risk premium embedded in this instrument and argue that demand for further such instruments and innovations can be expected.
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ژورنال
عنوان ژورنال: De Economist
سال: 2010
ISSN: 0013-063X,1572-9982
DOI: 10.1007/s10645-010-9143-4