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Le prix du risque de longévité

Author

Listed:
  • Nicole El Karoui
  • Caroline Hillairet
  • Stéphane Loisel
  • Yahia Salhi

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.

Suggested Citation

  • Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Yahia Salhi, 2019. "Le prix du risque de longévité," Revue d'économie financière, Association d'économie financière, vol. 0(1), pages 129-145.
    • Handle: RePEc:cai:refaef:ecofi_133_0129
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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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