Modelling Longevity Dynamics for Pensions and Annuity Business - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Modelling Longevity Dynamics for Pensions and Annuity Business write by Ermanno Pitacco. This book was released on 2009-01-29. Modelling Longevity Dynamics for Pensions and Annuity Business available 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.
Modelling Longevity Dynamics for Pensions and Annuity Business
Modelling Longevity Dynamics for Pensions and Annuity Business - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Modelling Longevity Dynamics for Pensions and Annuity Business write by Ermanno Pitacco. This book was released on 2023. Modelling Longevity Dynamics for Pensions and Annuity Business available in PDF, EPUB and Kindle. 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.
Mortality Assumptions and Longevity Risk Implications for pension funds and annuity providers
Mortality Assumptions and Longevity Risk Implications for pension funds and annuity providers - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Mortality Assumptions and Longevity Risk Implications for pension funds and annuity providers write by OECD. This book was released on 2014-12-08. Mortality Assumptions and Longevity Risk Implications for pension funds and annuity providers available 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.
The Analysis and Projection of Mortality Rates for Annuity and Pensions Business
The Analysis and Projection of Mortality Rates for Annuity and Pensions Business - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Analysis and Projection of Mortality Rates for Annuity and Pensions Business write by Stephen J. Richards. This book was released on 2012. The Analysis and Projection of Mortality Rates for Annuity and Pensions Business available 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.
Longevity Risk from a Pension Fund Perspective
Longevity Risk from a Pension Fund Perspective - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Longevity Risk from a Pension Fund Perspective write by Lasse Erdweg. This book was released on 2015-12-02. Longevity Risk from a Pension Fund Perspective available in PDF, EPUB and Kindle. Seminar paper from the year 2015 in the subject Business economics - Investment and Finance, grade: 1.7, University of Frankfurt (Main) (Faculty of Economics and Business Administration), language: English, abstract: Assurance companies face two main risk factors in the process of pricing annuity products namely the interest risk and the longevity risk. There are numerous products and possibilities for the insurers to hedge their interest risk using interest derivatives and long bonds. Hedging products against the longevity risk is uncommon but insurers have to take it into account when they are pricing their annuity products. There are two types of longevity risks. On the one hand the idiosyncratic longevity risk and on the other hand the systematic longevity risk. With regards to the idiosyncratic longevity risk, individuals are faced with the issue that they need to invest in assets for their retirement in spite of an uncertain span of lifetime and thus an uncertain investment horizon. Pricing of life annuities could be done according to corresponding mortality tables. If the clients of an insurer die on average according to mortality rates provided by such tables, the revenues of the insurer should be sufficient to ensure the payments for the clients who are still alive. The issue out of a pension fund perspective is that longevity has been improving over time and clients could live longer than anticipated. These improvements occurred in an unpredictable way, especially at higher ages according to Cairns et al. (2006). Insurers therefore made false calculations of the insurance premium and suffered losses due to pensioners living longer than anticipated. The systematic longevity risk is based on the stochastic variation of mortality. The future development of life expectancy will be highly unpredictable due to medical improvements or discoveries in genetic research. For that reason insurers need stochastic models to quantify the systematic mortality changes ov
