IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Mathematical Models for the Longevity Risk in the Annuity Market

Listed author(s):
  • Iulian MIRCEA

    (The Academy of Economic Studies, Faculty of Economic Cybernetics, Statistics and Informatics, Bucharest, Romania)

Registered author(s):

    The markets for longevity derivatives are starting to develop. In last years, many companies have closed the defined benefit retirement plans that they used to offer to their employees. In addition, some governments increased the retirement age by 2 or 5 years to take into account longevity improvements, population ageing and the financing of pension. The insurance industry is also facing some specific challenges related to longevity risk. More and more capital has to be constituted to face this long-term risk, and new regulations in Europe, together with the recent financial crisis only amplify this phenomenon. Hence, it has become more important for insurance companies and pension funds to find a suitable and efficient way to cross-hedge or to transfer part of the longevity risk to reinsurers or to financial markets. In this study, we develop the models of mortality rates and the pricing models of the longevity risk. We make some remarks regarding forecasting mortality rates using Lee-Carter model and own model. Also, we deal with the securitization of longevity risk through the longevity bonds (the straight bonds), the interest are split between the annuity provider and the investors depending on the realized mortality at each future time by a Special Purpose Company (SPC).

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Article provided by West University of Timisoara, Romania, Faculty of Economics and Business Administration in its journal Timisoara Journal of Economics.

    Volume (Year): 4 (2011)
    Issue (Month): 4(16) ()
    Pages: 205-210

    in new window

    Handle: RePEc:wun:journl:tje:v04:y2011:i4(16):a02
    Contact details of provider: Postal:
    Str. J.H.Pestalozzi nr. 16, 300115, Timisoara

    Phone: 004 0256 592506
    Fax: 004 0256 5925002
    Web page:

    More information through EDIRC

    Order Information: Postal: 16 J. H. Pestalozzi Street, 300115, Timisoara, Romania
    Web: Email:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:wun:journl:tje:v04:y2011:i4(16):a02. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Romeo Margea)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.