Individual post-retirement longevity risk management under systematic mortality risk
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- Katja Hanewald & John Piggott & Michael Sherris, 2011. "Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk," Working Papers 201113, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- M. A. Milevsky & T. S. Salisbury, 2016. "Equitable retirement income tontines: Mixing cohorts without discriminating," Papers 1610.09384, arXiv.org.
- Shao, Adam W. & Hanewald, Katja & Sherris, Michael, 2015. "Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 76-90.
- Bovenberg, A Lans & Nijman, Theo E, 2015. "Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe," CEPR Discussion Papers 10538, C.E.P.R. Discussion Papers.
- Berdin, Elia, 2016. "Interest rate risk, longevity risk and the solvency of life insurers," ICIR Working Paper Series 23/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
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- Catherine Donnelly, 2013. "Actuarial fairness and solidarity in pooled annuity funds," Papers 1311.5120, arXiv.org, revised Jul 2014.
- Berdin, Elia & Pancaro, Cosimo & Kok Sørensen, Christoffer, 2016.
"A stochastic forward-looking model to assess the profitability and solvency of European insurers,"
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137, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
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- Berdin, Elia & Pancaro, Cosimo & Kok Sørensen, Christoffer, 2016. "A stochastic forward-looking model to assess the profitability and solvency of European insurers," ICIR Working Paper Series 21/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
More about this item
KeywordsLongevity risk; Optimal insurance; Life annuity; Group self-annuitization (GSA); Market frictions;
- D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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