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Longevity risk in portfolios of pension annuities

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Cited by:

  1. Alvarez, Jesús-Adrián & Kallestrup-Lamb, Malene & Kjærgaard, Søren, 2021. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 363-375.
  2. Pauline Milaure Ngugnie Diffouo & Pierre Devolder, 2020. "Longevity Risk Measurement of Life Annuity Products," Risks, MDPI, vol. 8(1), pages 1-16, March.
  3. Tan, Ken Seng & Weng, Chengguo & Zhang, Jinggong, 2022. "Optimal dynamic longevity hedge with basis risk," European Journal of Operational Research, Elsevier, vol. 297(1), pages 325-337.
  4. repec:hum:wpaper:sfb649dp2009-015 is not listed on IDEAS
  5. Boonen, Tim J., 2016. "Nash equilibria of Over-The-Counter bargaining for insurance risk redistributions: The role of a regulator," European Journal of Operational Research, Elsevier, vol. 250(3), pages 955-965.
  6. Igor Fedotenkov & Pavel Derkachev, 2020. "Gender longevity gap and socioeconomic indicators in developed countries," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 47(1), pages 127-144, January.
  7. Broeders, Dirk & Mehlkopf, Roel & van Ool, Annick, 2021. "The economics of sharing macro-longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 440-458.
  8. Mariarosaria Coppola & Valeria D'Amato, 2012. "Backtesting the solvency capital requirement for longevity risk," Journal of Risk Finance, Emerald Group Publishing, vol. 13(4), pages 309-319, August.
  9. Alessandro Bucciol & Roel M.W.J. Beetsma, 2010. "Inter- and Intra-generational Consequences of Pension Buffer Policy under Demographic, Financial, and Economic Shocks," CESifo Economic Studies, CESifo Group, vol. 56(3), pages 366-403, September.
  10. Gian Paolo Clemente & Francesco Della Corte & Nino Savelli, 2021. "A Bridge between Local GAAP and Solvency II Frameworks to Quantify Capital Requirement for Demographic Risk," Risks, MDPI, vol. 9(10), pages 1-19, September.
  11. 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.
  12. Helena Aro, 2013. "Systematic and non-systematic mortality risk in pension portfolios," Papers 1307.8020, arXiv.org, revised Jul 2013.
  13. Menoncin, Francesco & Regis, Luca, 2020. "Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets," Journal of Banking & Finance, Elsevier, vol. 120(C).
  14. María del Carmen Valls Martínez & José Manuel Santos-Jaén & Fahim-ul Amin & Pedro Antonio Martín-Cervantes, 2021. "Pensions, Ageing and Social Security Research: Literature Review and Global Trends," Mathematics, MDPI, vol. 9(24), pages 1-25, December.
  15. Li, Jing, 2018. "Essays on model uncertainty in financial models," Other publications TiSEM 202cd910-7ef1-4db4-94ae-d, Tilburg University, School of Economics and Management.
  16. Lin, Tzuling & Wang, Chou-Wen & Tsai, Cary Chi-Liang, 2015. "Age-specific copula-AR-GARCH mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 110-124.
  17. Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "Mortality and Longevity Risks in the United Kingdom: Dynamic Factor Models and Copula-Functions," Working Papers 2015-03, Universitat de Barcelona, UB Riskcenter.
  18. Leung, Melvern & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A., 2021. "Bayesian Value-at-Risk backtesting: The case of annuity pricing," European Journal of Operational Research, Elsevier, vol. 293(2), pages 786-801.
  19. Cocco, João F. & Gomes, Francisco J., 2012. "Longevity risk, retirement savings, and financial innovation," Journal of Financial Economics, Elsevier, vol. 103(3), pages 507-529.
  20. Yang, Sharon S. & Yue, Jack C. & Huang, Hong-Chih, 2010. "Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 254-270, February.
  21. Gian Paolo Clemente & Francesco Della Corte & Nino Savelli, 2021. "A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk," Papers 2107.10891, arXiv.org.
  22. 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).
  23. Katja Hanewald & Thomas Post & Helmut Gründl, 2011. "Stochastic Mortality, Macroeconomic Risks and Life Insurer Solvency," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 36(3), pages 458-475, July.
  24. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
  25. Hanbali, Hamza, 2025. "Mean-variance longevity risk-sharing for annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 207-235.
  26. Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.
  27. Boonen, Tim J. & De Waegenaere, Anja & Norde, Henk, 2017. "Redistribution of longevity risk: The effect of heterogeneous mortality beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 175-188.
  28. Anja De Waegenaere & Bertrand Melenberg & Ralph Stevens, 2010. "Longevity Risk," De Economist, Springer, vol. 158(2), pages 151-192, June.
  29. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2015. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Papers 1508.00090, arXiv.org.
  30. 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.
  31. Apostolos Bozikas & Ioannis Badounas & Georgios Pitselis, 2022. "Pricing Longevity Bonds under a Credibility Framework with Limited Available Data," Risks, MDPI, vol. 10(5), pages 1-15, May.
  32. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "Bargaining for Over-The Counter Risk Redistributions : The Case of Longevity Risk," Discussion Paper 2012-090, Tilburg University, Center for Economic Research.
  33. Man Chung Fung & Katja Ignatieva & Michael Sherris, 2019. "Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives," Risks, MDPI, vol. 7(1), pages 1-25, January.
  34. Tomas Cipra, 2010. "Securitization of Longevity and Mortality Risk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(6), pages 545-560, December.
  35. Rabitti, Giovanni & Borgonovo, Emanuele, 2020. "Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 48-58.
  36. David Atance & Eliseo Navarro, 2024. "A simplified model for measuring longevity risk for life insurance products," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-30, December.
  37. Fung, Man Chung & Ignatieva, Katja & Sherris, Michael, 2014. "Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 103-115.
  38. Valeria D’Amato & Emilia Di Lorenzo & Steven Haberman & Maria Russolillo & Marilena Sibillo, 2011. "The Poisson Log-Bilinear Lee-Carter Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 15(2), pages 315-333.
  39. Jesús-Adrián Álvarez & Malene Kallestrup-Lamb & Søren Kjærgaard, 2020. "Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans," CREATES Research Papers 2020-17, Department of Economics and Business Economics, Aarhus University.
  40. 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.
  41. Lin, Tzuling & Tzeng, Larry Y., 2010. "An additive stochastic model of mortality rates: An application to longevity risk in reserve evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 423-435, April.
  42. 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," Other publications TiSEM a3e07689-4b6b-4987-852c-3, Tilburg University, School of Economics and Management.
  43. Samuel Asante Gyamerah & Janet Arthur & Saviour Worlanyo Akuamoah & Yethu Sithole, 2023. "Measurement and Impact of Longevity Risk in Portfolios of Pension Annuity: The Case in Sub Saharan Africa," FinTech, MDPI, vol. 2(1), pages 1-20, January.
  44. Gambaro, Anna Maria & Casalini, Riccardo & Fusai, Gianluca & Ghilarducci, Alessandro, 2018. "Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 117-129.
  45. Elisa Luciano & Luca Regis & Elena Vigna, 2012. "Natural delta gamma hedging of longevity and interest rate risk," ICER Working Papers - Applied Mathematics Series 21-2011, ICER - International Centre for Economic Research.
  46. Rachel WINGENBACH & Jong-Min KIM & Hojin JUNG, 2020. "Living Longer in High Longevity Risk," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 86(1), pages 47-86, March.
  47. Francesco Della Corte & Gian Paolo Clemente & Nino Savelli, 2023. "A cohort-based Partial Internal Model for demographic risk," Papers 2307.03090, arXiv.org.
  48. Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "Bargaining for Over-The Counter Risk Redistributions : The Case of Longevity Risk," Other publications TiSEM 666aa6f1-2d07-413c-90da-a, Tilburg University, School of Economics and Management.
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