New Financial Instruments for Managing Longevity Risk
نویسندگان
چکیده
منابع مشابه
Longevity Risk, Retirement Savings, and Financial Innovation
Over the last couple of decades there have been unprecedented, and to some extent unexpected, increases in life expectancy which have raised important questions for retirement savings. We study optimal consumption and saving choices in a life-cycle model, in which we allow for changes in the distribution of survival probabilities, according to the Lee-Carter (1992) model. We allow individuals t...
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Since its introduction, the Lee Carter model has been widely adopted as a means of modelling the distribution of projected mortality rates. Increasingly attention is being placed on alternative models and, importantly in the financial and actuarial literature, on models suited to risk management and pricing. Financial economic approaches based on term structure models provide a framework for em...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3659734