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Solvency requirements for pension annuities

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  • OLIVIERI, ANNAMARIA
  • PITACCO, ERMANNO

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  • Olivieri, Annamaria & Pitacco, Ermanno, 2003. "Solvency requirements for pension annuities," Journal of Pension Economics and Finance, Cambridge University Press, vol. 2(02), pages 127-157, July.
  • Handle: RePEc:cup:jpenef:v:2:y:2003:i:02:p:127-157_00
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    References listed on IDEAS

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    1. Hassler, John & Lindbeck, Assar, 1997. "Optimal actuarial fairness in pension systems: A note," Economics Letters, Elsevier, vol. 55(2), pages 251-255, August.
    2. Friedrich Breyer, 2001. "Why Funding Is not a Solution to the "Social Security Crisis"," Discussion Papers of DIW Berlin 254, DIW Berlin, German Institute for Economic Research.
    3. Blundell, Richard & Johnson, Paul, 1998. "Pensions and Labor-Market Participation in the United Kingdom," American Economic Review, American Economic Association, pages 168-172.
    4. Courtney Coile & Jonathan Gruber, 2000. "Social Security and Retirement," NBER Working Papers 7830, National Bureau of Economic Research, Inc.
    5. Borsch-Supan, Axel & Schnabel, Reinhold, 1998. "Social Security and Declining Labor-Force Participation in Germany," American Economic Review, American Economic Association, pages 173-178.
    6. Feldstein, Martin & Liebman, Jeffrey B., 2002. "Social security," Handbook of Public Economics,in: A. J. Auerbach & M. Feldstein (ed.), Handbook of Public Economics, edition 1, volume 4, chapter 32, pages 2245-2324 Elsevier.
    7. Kapteyn, Arie & de Vos, Klaas, 1998. "Social Security and Labor-Force Participation in the Netherlands," American Economic Review, American Economic Association, pages 164-167.
    8. Gruber, Jonathan & Wise, David, 1998. "Social Security and Retirement: An International Comparison," American Economic Review, American Economic Association, pages 158-163.
    9. Mathias Kifman & Dirk Schindler, 2000. "Smoothing the Implicit Tax Rate in a Pay-as-you-go Pension System," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 57(3), pages 261-261, May.
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    Citations

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    Cited by:

    1. T. Gudaitis & A. Fiori Maccioni, 2014. "Optimal Individual Choice of Contribution to Second Pillar Pension System in Lithuania," Working Paper CRENoS 201402, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    2. Bayraktar, Erhan & Young, Virginia R., 2007. "Minimizing the probability of lifetime ruin under borrowing constraints," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 196-221, July.
    3. Stevens, Ralph & De Waegenaere, Anja & Melenberg, Bertrand, 2010. "Longevity risk in pension annuities with exchange options: The effect of product design," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 222-234, February.
    4. Dirk Broeders & An Chen, 2013. "Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund, and Sponsor Support," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 239-272, June.
    5. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, pages 151-192.
    6. A. Fiori Maccioni & A. Bitinas, 2013. "Lithuanian pension system's reforms following demographic and social transitions," Working Paper CRENoS 201315, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    7. Pitacco, Ermanno, 2004. "Survival models in a dynamic context: a survey," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 279-298, October.
    8. Petar Jevtic' & Luca Regis, 2014. "Assessing the solvency of insurance portfolios via a continuous time cohort model," Working Papers 7/2014, IMT Institute for Advanced Studies Lucca, revised Jul 2014.
    9. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 505-519, April.
    10. Alessandro Fiori Maccioni, 2011. "A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds," Papers 1106.5081, arXiv.org.
    11. Annamaria Olivieri & Ermanno Pitacco, 2012. "Life tables in actuarial models: from the deterministic setting to a Bayesian approach," AStA Advances in Statistical Analysis, Springer;German Statistical Society, pages 127-153.
    12. Hari, N., 2007. "Modeling mortality : Empirical studies on the effect of mortality on annuity markets," Other publications TiSEM a31eb479-4ce0-404a-b5c8-f, Tilburg University, School of Economics and Management.
    13. Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Discussion Paper 2011-036, Tilburg University, Center for Economic Research.
    14. Olivieri, Annamaria & Pitacco, Ermanno, 2008. "Assessing the cost of capital for longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1013-1021, June.
    15. Bakken, Henrik & Lindset, Snorre & Olson, Lars Hesstvedt, 2006. "Pricing of multi-period rate of return guarantees: The Monte Carlo approach," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 135-149, August.
    16. Levantesi, Susanna & Menzietti, Massimiliano, 2012. "Managing longevity and disability risks in life annuities with long term care," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 391-401.
    17. Jevtić, Petar & Regis, Luca, 2015. "Assessing the solvency of insurance portfolios via a continuous-time cohort model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 36-47.

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