Longevity risk management
نویسندگان
چکیده
منابع مشابه
Mathematical Models for Longevity Risk Management
Aalto University, P.O. Box 11000, FI-00076 Aalto www.aalto.fi Author Helena Aro Name of the doctoral dissertation Mathematical Models for Longevity Risk Management Publisher School of Science Unit Department of Mathematics and Systems Analysis Series Aalto University publication series DOCTORAL DISSERTATIONS 120/2013 Field of research Mathematics Manuscript submitted 12 April 2013 Date of the d...
متن کاملModelling and Management of Longevity Risk
In this article we review the state of play in the use of stochastic models for the measurement and management of longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that is particularly important in formulating a risk management strategy. On the modelling front much still needs to be done on robust multipopulation mortality ...
متن کاملIndividual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk
This paper analyzes an individual’s post retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi-period simulations of portfolio strategies are used to assess individual longevity insurance product portfolios with differing levels of systematic and idiosyncratic long...
متن کاملRobust 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...
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ژورنال
عنوان ژورنال: Zeszyty Naukowe Uniwersytetu Szczecińskiego Finanse, Rynki Finansowe, Ubezpieczenia
سال: 2015
ISSN: 1733-2842,2300-4460
DOI: 10.18276/frfu.2015.75-39