کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077266 1374124 2008 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Longevity risk in portfolios of pension annuities
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Longevity risk in portfolios of pension annuities
چکیده انگلیسی
We analyze the importance of longevity risk for the solvency of portfolios of pension annuities. We distinguish two types of mortality risk. Micro-longevity risk quantifies the risk related to uncertainty in the time of death if survival probabilities are known with certainty, while macro-longevity risk is due to uncertain future survival probabilities. We use a generalized two-factor Lee-Carter mortality model to produce forecasts of future mortality rates, and to assess the relative importance of micro- and macro-longevity risk for funding ratio uncertainty. The results show that if financial market risk is fully hedged so that uncertainty in future lifetime is the only source of uncertainty, pension funds are exposed to a substantial amount of risk. Systematic and non-systematic deviations from expected survival imply that, depending on the size of the portfolio, buffers that reduce the probability of underfunding to 2.5% at a 5-year horizon have to be of the order of magnitude of 7% to 8% of the initial value of the liabilities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 2, April 2008, Pages 505-519
نویسندگان
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