Pricing participating longevity-linked life annuities: a Bayesian Model Ensemble approach

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...

Indifference Pricing of Pure Endowments and Life Annuities

We study indifference pricing of mortality contingent claims in a fully stochastic model. We assume both stochastic interest rates and stochastic hazard rates governing the population mortality. In this setting we compute the indifference price charged by an insurer that uses exponential utility and sells k contingent claims to k independent but homogeneous individuals. Throughout we focus on t...

The Implied Longevity Yield: A Note on Developing an Index for Life Annuities

The Implied Longevity Yield: A Note on Developing an Index for Life Annuities We develop an index for tracking the dynamic behavior of life (pension) annuity payouts over time, based on the concept of self-annuitization. Our implied longevity yield (ILY) value is de…ned equal to the internal rate of return (IRR) over a …xed deferral period that an individual would have to earn on their investab...

Entropy, Longevity and the Cost of Annuities

Pricing Participating Products under a Generalized Jump-Diffusion Model

We propose a model for valuing participating life insurance products under a generalized jumpdiffusion model with a Markov-switching compensator. It also nests a number of important and popular models in finance, including the classes of jump-diffusion models and Markovian regimeswitching models. The Esscher transform is employed to determine an equivalent martingale measure. Simulation experim...