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Le prix du risque de longévité

Author

Listed:
  • Nicole El Karoui

    (CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique - X - École polytechnique - CNRS - Centre National de la Recherche Scientifique)

  • Caroline Hillairet

    (CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique - X - École polytechnique - CNRS - Centre National de la Recherche Scientifique)

  • Stéphane Loisel

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Yahia Salhi

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

In this article, we address the issue of the price of longevity risk. We begin by describing the risk of longevity and its components, distinguishing biometric, financial and regulatory aspects. We then explain the different valuation frameworks (actuarial, financial and regulatory), their common points and their differences. We discuss the issue of discounting and modeling long-term interest rates for longevity risk management. We also give details on the subjective and pragmatic way to handle different components of longevity risk, especially the most extreme, in the market. Classification JEL : G12, I13.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Yahia Salhi, 2019. "Le prix du risque de longévité," Post-Print hal-02471990, HAL.
    • Handle: RePEc:hal:journl:hal-02471990
    DOI: 10.3917/ecofi.133.0129
    as

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • I13 - Health, Education, and Welfare - - Health - - - Health Insurance, Public and Private

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