securitization of mortality risks in life annuities

پایان نامه

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, we will show how bond contracts, provide hedges that insurers need. securitization is one of the most important innovations of modern finance. securitization, the trading of cash flow streams, enables the parties to the contract to manage and diversify risk, to take advantage of arbitrage opportunities, or to invest in new classes of risk that enhance market efficiency. the cash flow streams to be traded often involve contingent payments as well as more predictable components which may be subject to credit and other types of counterparty risk. what we intended to do was assessment of the possibility of designing longevity risk bond to cover this risk for annuity writers in iran. after applying wang transform to existing life table data, we got a risk parameter that cause the transformed survivor curve lies below the given table. this means that there is no longevity risk for annuity writers in iran, and hence there are no significant reasons to design and publish longevity bond. of course this result does not necessarily mean that insurance companies encounter other side of mortality risk, i.e. the insureds die sooner than expected, which encourage them to design and sell mortality bonds. so comparing our findings and other studies, the suggestion of this thesis is making a real life table. this help insurers and annuity writers to assess their longevity risk precisely, and manage the hedge they will need.

۱۵ صفحه ی اول

برای دانلود 15 صفحه اول باید عضویت طلایی داشته باشید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

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...

متن کامل

Securitization of Catastrophe Mortality Risks

Securitization with payments linked to explicit mortality events provides a new investment opportunity to investors and financial institutions. Moreover, mortalitylinked securities provide an alternative risk management tool for insurers. As a step toward understanding these securities, we develop an asset pricing model for mortality-based securities in an incomplete market framework with jump ...

متن کامل

Optimum taxation of life annuities

The market for private life annuities is characterised by adverse selection, that is, contracts offer lower than fair payoffs to individuals with low life expectancy. Moreover, life expectancy and income have been found to be positively correlated. The paper shows that a linear tax on annuity payoffs, which raises more revenues from long-living individuals than from short-living, represents an ...

متن کامل

Adjusted Money’s Worth Ratios In Life Annuities

The Money’s Worth Ratio (MWR) measures an annuity’s actuarial fairness. It is calculated as the discounted present value of the annuity’s expected future payments divided by its cost. We argue that, this measure may overestimate the value‐for‐money obtained by annuitants, since it does not adjust for liquidity or risk factors. Measuring these factors is challenging, requi...

متن کامل

Pricing Frameworks for Securitization of Mortality Risk1

It is now an accepted fact that stochastic mortality – the risk that future trends in mortality are different from those anticipated – is an important risk factor in both life insurance and pensions. As a risk factor it affects how we calculate fair values, premium rates, and risk reserves. In this paper we discuss theoretical frameworks and models for pricing mortality derivatives and valuing ...

متن کامل

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...

متن کامل

منابع من

با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ذخیره در منابع من قبلا به منابع من ذحیره شده

{@ msg_add @}

نوع سند: پایان نامه

وزارت علوم، تحقیقات و فناوری - دانشگاه علامه طباطبایی

میزبانی شده توسط پلتفرم ابری

copyright © 2015-2023