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Mortality Assumptions And Longevity Risk Implications For Pension Funds And Annuity Providers
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Book Synopsis Mortality Assumptions and Longevity Risk Implications for pension funds and annuity providers by : OECD
Download or read book Mortality Assumptions and Longevity Risk Implications for pension funds and annuity providers written by OECD and published by OECD Publishing. This book was released on 2014-12-08 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: The publication assess how pension funds, annuity providers such as life insurance companies, and the regulatory framework incorporate future improvements in mortality and life expectancy.
Book Synopsis Mortality assumptions and longevity risk : implications for pension funds and annuity providers by :
Download or read book Mortality assumptions and longevity risk : implications for pension funds and annuity providers written by and published by . This book was released on 2014 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mortality Assumptions and Longevity Risk - Implications for Pension Funds and Annuity Providers by : OECD. Publishing
Download or read book Mortality Assumptions and Longevity Risk - Implications for Pension Funds and Annuity Providers written by OECD. Publishing and published by . This book was released on 2014 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modelling Longevity Dynamics for Pensions and Annuity Business by : Ermanno Pitacco
Download or read book Modelling Longevity Dynamics for Pensions and Annuity Business written by Ermanno Pitacco and published by OUP Oxford. This book was released on 2009-01-29 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mortality improvements, uncertainty in future mortality trends and the relevant impact on life annuities and pension plans constitute important topics in the field of actuarial mathematics and life insurance techniques. In particular, actuarial calculations concerning pensions, life annuities and other living benefits (provided, for example, by long-term care insurance products and whole life sickness covers) are based on survival probabilities which necessarily extend over a long time horizon. In order to avoid underestimation of the related liabilities, the insurance company (or the pension plan) must adopt an appropriate forecast of future mortality. Great attention is currently being devoted to the management of life annuity portfolios, both from a theoretical and a practical point of view, because of the growing importance of annuity benefits paid by private pension schemes. In particular, the progressive shift from defined benefit to defined contribution pension schemes has increased the interest in life annuities with a guaranteed annual amount. This book provides a comprehensive and detailed description of methods for projecting mortality, and an extensive introduction to some important issues concerning longevity risk in the area of life annuities and pension benefits. It relies on research work carried out by the authors, as well as on a wide teaching experience and in CPD (Continuing Professional Development) initiatives. The following topics are dealt with: life annuities in the framework of post-retirement income strategies; the basic mortality model; recent mortality trends that have been experienced; general features of projection models; discussion of stochastic projection models, with numerical illustrations; measuring and managing longevity risk.
Book Synopsis A Conceptual Framework for Retirement Products by : Gregorio Impavido
Download or read book A Conceptual Framework for Retirement Products written by Gregorio Impavido and published by . This book was released on 2004 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Longevity Risk and Retirement Income Planning by : Patrick J. Collins
Download or read book Longevity Risk and Retirement Income Planning written by Patrick J. Collins and published by CFA Institute Research Foundation. This book was released on 2015-12-28 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past 50 years have seen an abundance of research on retirement planning and longevity risk. Reviewed here is the academic side of the research and its varied viewpoints and nuances. The evolution of retirement risk models, retirement portfolio problems and solutions, and annuities are some of the many topics covered.
Book Synopsis Life Annuity Products and Their Guarantees by : Collectif
Download or read book Life Annuity Products and Their Guarantees written by Collectif and published by OECD. This book was released on 2016-12-05 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication helps policy makers to better understand annuity products and the guarantees they provide in order to optimise the role that these products can play in financing retirement. Product design is a crucial factor in the potential role of annuity products within the pension system, along with the cost and demand for these products, and the resulting risks that are borne by the annuity providers. Increasingly complex products, however, pose additional challenges concerning consumer protection. Consumers need to be aware of their options and have access to unbiased and comprehensible advice and information about these products.
Book Synopsis Longevity Risk Modeling, Securities Pricing and Other Related Issues by : Yinglu Deng
Download or read book Longevity Risk Modeling, Securities Pricing and Other Related Issues written by Yinglu Deng and published by . This book was released on 2011 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the adverse financial implications of "longevity risk" and "mortality risk", which have attracted the growing attention of insurance companies, annuity providers, pension funds, public policy decision-makers, and investment banks. Securitization of longevity/mortality risk provides insurers and pension funds an effective, low-cost approach to transferring the longevity/mortality risk from their balance sheets to capital markets. The modeling and forecasting of the mortality rate is the key point in pricing mortality-linked securities that facilitates the emergence of liquid markets. First, this dissertation introduces the discrete models proposed in previous literature. The models include: the Lee-Carter Model, the Renshaw Haberman Model, The Currie Model, the Cairns-Blake-Dowd (CBD) Model, the Cox-Lin-Wang (CLW) Model and the Chen-Cox Model. The different models have captured different features of the historical mortality time series and each one has their own advantages. Second, this dissertation introduces a stochastic diffusion model with a double exponential jump diffusion (DEJD) process for mortality time-series and is the first to capture both asymmetric jump features and cohort effect as the underlying reasons for the mortality trends. The DEJD model has the advantage of easy calibration and mathematical tractability. The form of the DEJD model is neat, concise and practical. The DEJD model fits the actual data better than previous stochastic models with or without jumps. To apply the model, the implied risk premium is calculated based on the Swiss Re mortality bond price. The DEJD model is the first to provide a closed-form solution to price the q-forward, which is the standard financial derivative product contingent on the LifeMetrics index for hedging longevity or mortality risk. Finally, the DEJD model is applied in modeling and pricing of life settlement products. A life settlement is a financial transaction in which the owner of a life insurance policy sells an unneeded policy to a third party for more than its cash value and less than its face value. The value of the life settlement product is the expected discounted value of the benefit discounted from the time of death. Since the discount function is convex, it follows by Jensen's Inequality that the expected value of the function of the discounted benefit till random time of death is always greater than the benefit discounted by the expected time of death. So, the pricing method based on only the life expectancy has the negative bias for pricing the life settlement products. I apply the DEJD mortality model using the Whole Life Time Distribution Dynamic Pricing (WLTDDP) method. The WLTDDP method generates a complete life table with the whole distribution of life times instead of using only the expected life time (life expectancy). When a life settlement underwriter's gives an expected life time for the insured, information theory can be used to adjust the DEJD mortality table to obtain a distribution that is consistent with the underwriter projected life expectancy that is as close as possible to the DEJD mortality model. The WLTDDP method, incorporating the underwriter information, provides a more accurate projection and evaluation for the life settlement products. Another advantage of WLTDDP is that it incorporates the effect of dynamic longevity risk changes by using an original life table generated from the DEJD mortality model table.
Book Synopsis The Religious Roots of Longevity Risk Sharing by : Moshe A. Milevsky
Download or read book The Religious Roots of Longevity Risk Sharing written by Moshe A. Milevsky and published by Springer Nature. This book was released on with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Analysis and Projection of Mortality Rates for Annuity and Pensions Business by : Stephen J. Richards
Download or read book The Analysis and Projection of Mortality Rates for Annuity and Pensions Business written by Stephen J. Richards and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Longevity risk is a major issue for the developed world. As both mortality rates and birth rates fall, the increasing burden of providing for retirees falls on a smaller working population. Under such circumstances, the accurate modelling and measurement of longevity risk becomes particularly important. Longevity risk is present in the annuity portfolios of insurance companies, and increasingly of reinsurers as well. However, the biggest concentration of longevity risk in the private sector in the United Kingdom is most often in the shape of de nedbene t pension promises by employers. This makes longevity risk of crucial interest to managers and investors, even if they think that their business has nothing to do with insurance. Actuaries handle longevity risk by breaking it into two components: the current (or period) rates of mortality, and the projection of future rates. In both areas actuaries have made signi cant advances in their modelling and understanding of longevity risk. This critical review outlines how methods have developed, and how the papers in the accompanying thesis have contributed to these advances.
Book Synopsis Optimizing the Aging, Retirement, and Pensions Dilemma by : Marida Bertocchi
Download or read book Optimizing the Aging, Retirement, and Pensions Dilemma written by Marida Bertocchi and published by John Wiley & Sons. This book was released on 2010-01-06 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: A straightforward guide focused on life cycle investing-namely aging, retirement, and pensions Life cycle investing and the implications of aging, retirement, and pensions continues to grow in importance. With people living longer, the relative and absolute number of retirees is growing while the number of workers contributing to pension funds is declining. This reliable resource develops a detailed economic analysis-at the micro (individual) and macro (economy wide) levels-which addresses issues regarding the economics of an aging population. Topics touched upon include retirement and the associated health care funding of the aged as well as social security and the asset classes that are considered asset-liability choices over time. The probability of achieving adequate return patterns from various investment strategies and asset classes is reviewed Shares rich insights on the aging, retirement, and pensions dilemma An assessment of the resources the real economy will be able to commit to non-workers is provided The three pillars of retirement are social security, company pensions, and private savings. Each of these pillars is confronted with a variety of asset-liability problems, and this book will addresses them.
Book Synopsis Mortality-Linked Securities and Derivatives by : Enrico Biffis
Download or read book Mortality-Linked Securities and Derivatives written by Enrico Biffis and published by . This book was released on 2020 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last few years, the risk of mortality improvements has become increasingly capital intensive for pension funds and annuity providers to manage. The reason is that longevity risk has been systematically underestimated, making balance sheets vulnerable to unexpected increases in liabilities. The traditional way of transferring longevity risk is through insurance and reinsurance markets. However, these lack the capacity and liquidity to support an estimated global exposure in excess of $20tr (e.g., Loeys et al., 2007). Capital markets, on the other hand, could play a very important role, offering additional capacity and liquidity to the market, leading in turn to more transparent and competitive pricing of longevity risk. lt;brgt;lt;brgt;Blake and Burrows (2001) were the first to advocate the use of mortality-linked securities to transfer longevity risk to the capital markets. Their proposal has generated considerable attention in the last few years, and major investment banks and reinsurers are now actively innovating in this space (see Blake et al., 2008, for an overview). Nevertheless, despite growing enthusiasm, longevity risk transfers have been materializing only slowly. One of the reasons is the huge imbalance in scale between existing exposures and willing hedge suppliers. Another reason is that a traded mortality-linked security has to meet the different needs of hedgers (concerned with hedge effectiveness) and investors (concerned with liquidity and with receiving adequate compensation for assuming the risk), needs that are difficult to reconcile when longevity risk, a long-term trend risk that is difficult to quantify, is involved. A third reason is the absence of an established market price for longevity risk. We provide an overview of the recent developments in capital markets aimed at overcoming such difficulties and at creating a liquid market in mortality-linked securities and derivatives.
Download or read book Life is Cheap written by Leora Friedberg and published by . This book was released on 2006 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the widely-cited Lee-Carter mortality model, we quantify aggregate mortality risk as the risk that the average annuitant lives longer than is predicted by the model, and we conclude that annuity business exposes insurance companies to substantial mortality risk. We calculate that a markup of 3.7% on an annuity premium (or else shareholders' capital equal to 3.7% of the expected present value of annuity payments) would reduce the probability of insolvency resulting from uncertain aggregate mortality trends to 5% and a markup of 5.4% would reduce the probability of insolvency to 1%. Using the same model, we find that a projection scale commonly referred to by the insurance industry underestimates aggregate mortality improvements. Annuities that are priced on that projection scale without any conservative margin appear to be substantially underpriced. Insurance companies could deal with aggregate mortality risk by transferring it to financial markets through mortality-contingent bonds, one of which has recently been offered. We calculate the returns that investors would have obtained on such bonds had they been available over a long period. Using both the Capital and the Consumption Capital Asset Pricing Models, we determine the risk premium that investors would have required on such bonds. At plausible coefficients of risk aversion, annuity providers should be able to hedge aggregate mortality risk via such bonds at a very low cost.
Book Synopsis How Should We Insure Longevity Risk in Pensions and Social Security? by : Jeffrey Robert Brown
Download or read book How Should We Insure Longevity Risk in Pensions and Social Security? written by Jeffrey Robert Brown and published by . This book was released on 2000 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Assessing Longevity Risk with Generalized Linear Array Models by : Jillian Falkenberg
Download or read book Assessing Longevity Risk with Generalized Linear Array Models written by Jillian Falkenberg and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Longevity risk is becoming more important in the current economic environment; if mortality improvements are larger than expected, profits erode in the annuity business and in defined benefit pension schemes. The Lee-Carter model, although a popular model for mortality rates by age and calendar year, has been critiqued for its inflexibility. A recently proposed alternative is to smooth the mortality surface with a generalized linear array model (GLAM), allowing for an additive surface of shocks. We compare the GLAM and Lee-Carter models by fitting them to Swedish mortality data. Lee-Carter mortality predictions are calculated, and a time series method for GLAM prediction is developed. The predicted mortality rates and associated uncertainties are compared directly, and their impact on annuity pricing is analyzed. Letting future mortality be stochastic, we can calculate the expected value and variance of the present value for various annuities.
Book Synopsis The Quest for Immortality: Science at the Frontiers of Aging by : Bruce A. Carnes
Download or read book The Quest for Immortality: Science at the Frontiers of Aging written by Bruce A. Carnes and published by W. W. Norton & Company. This book was released on 2002-07-17 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This is by far the best book I've read on the science of aging."—Andrew Weil, M.D. "Life-span Truth Will Set You Free from Age-old Worries," announced the Chicago Tribune upon the first publication of this book. The New England Journal of Medicine confirmed, "For readers interested in aging and longevity, this small book clearly explains the major concepts...extremely enjoyable to read." From NBC Nightly News with Tom Brokaw to Scientific American to the New York Times, S. Jay Olshansky and Bruce A. Carnes have stirred up controversy and brought clarity to an issue often muddled by exaggeration and pseudoscience. Medical science has uncovered a host of answers to the problems of aging, but many of the most exciting discoveries are buried in scientific journals or overshadowed by popular quick-fix treatments. The Quest for Immortality explains the real science of aging and shows which treatments offered by today's multi-billion-dollar anti-aging industries offer real hope, and which are a waste of money and time.
Book Synopsis Modelling Longevity Dynamics for Pensions and Annuity Business by : Ermanno Pitacco
Download or read book Modelling Longevity Dynamics for Pensions and Annuity Business written by Ermanno Pitacco and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text provides a comprehensive and detailed description of statistical methods for projecting mortality, and an extensive discussion of some important issues concerning the longevity risk in the area of life annuities and pension benefits.
