Mortality Assumptions And Longevity Risk Implications For Pension Funds And Annuity Providers PDF Download
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Author | : OECD |
Publisher | : OECD Publishing |
Total Pages | : 194 |
Release | : 2014-12-08 |
Genre | : |
ISBN | : 926422274X |
Download Mortality Assumptions and Longevity Risk Implications for pension funds and annuity providers Book in PDF, ePub and Kindle
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.
Author | : |
Publisher | : |
Total Pages | : 190 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Mortality assumptions and longevity risk : implications for pension funds and annuity providers Book in PDF, ePub and Kindle
Author | : OECD. Publishing |
Publisher | : |
Total Pages | : 194 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Mortality Assumptions and Longevity Risk - Implications for Pension Funds and Annuity Providers Book in PDF, ePub and Kindle
Author | : Ermanno Pitacco |
Publisher | : OUP Oxford |
Total Pages | : 417 |
Release | : 2009-01-29 |
Genre | : Business & Economics |
ISBN | : 0191563153 |
Download Modelling Longevity Dynamics for Pensions and Annuity Business Book in PDF, ePub and Kindle
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.
Author | : Gregorio Impavido |
Publisher | : |
Total Pages | : 44 |
Release | : 2004 |
Genre | : Annuities |
ISBN | : |
Download A Conceptual Framework for Retirement Products Book in PDF, ePub and Kindle
Author | : Patrick J. Collins |
Publisher | : CFA Institute Research Foundation |
Total Pages | : 106 |
Release | : 2015-12-28 |
Genre | : Business & Economics |
ISBN | : 193466796X |
Download Longevity Risk and Retirement Income Planning Book in PDF, ePub and Kindle
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.
Author | : Collectif |
Publisher | : OECD |
Total Pages | : 108 |
Release | : 2016-12-05 |
Genre | : Business & Economics |
ISBN | : 9264267794 |
Download Life Annuity Products and Their Guarantees Book in PDF, ePub and Kindle
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.
Author | : Yinglu Deng |
Publisher | : |
Total Pages | : 216 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download Longevity Risk Modeling, Securities Pricing and Other Related Issues Book in PDF, ePub and Kindle
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.
Author | : Howard E. Winklevoss |
Publisher | : University of Pennsylvania Press |
Total Pages | : 342 |
Release | : 1993-03-29 |
Genre | : Business & Economics |
ISBN | : 9780812231960 |
Download Pension Mathematics with Numerical Illustrations Book in PDF, ePub and Kindle
A text that quantifies and provides new or improved actuarial notation for long recognized pension cost concepts and procedures and, in certain areas, develops new insights and techniques. With the exception of the first few chapters, the text is a virtual rewrite of the first edition of 1977. Among the major additions are chapters on statutory funding requirements, pension accounting, funding policy analysis, asset allocation, and retiree health benefits.
Author | : Stephen J. Richards |
Publisher | : |
Total Pages | : |
Release | : 2012 |
Genre | : |
ISBN | : |
Download The Analysis and Projection of Mortality Rates for Annuity and Pensions Business Book in PDF, ePub and Kindle
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.