Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach

Detalhes bibliográficos
Autor(a) principal: Bravo, Jorge Miguel
Data de Publicação: 2020
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/141921
Resumo: Bravo, J. M. (2020). Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach. CAPSI 2020. 20ª Conferência da Associação Portuguesa de Sistemas de Informação.
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spelling Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing ApproachBayesian Model EnsembleForecasting methodsLongevity optionsLongevity-linked life annuitiesPension designInformation Systems and ManagementManagement Information SystemsManagement of Technology and InnovationInformation SystemsComputer Science ApplicationsSDG 1 - No PovertySDG 5 - Gender EqualitySDG 8 - Decent Work and Economic GrowthSDG 10 - Reduced InequalitiesBravo, J. M. (2020). Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach. CAPSI 2020. 20ª Conferência da Associação Portuguesa de Sistemas de Informação.Participating longevity-linked life annuities (PLLA) are an interesting solution to manage systematic longevity risk in markets in which alternative risk management solutions are scarce and/or expensive and in which there are significant demand- and supply-side constraints that prevent individuals from annuitizing their retirement wealth. In this paper we revisit, complement and expand previous research on the design, valuation and willingness to pay for various index-type PLLA structures. Contrary to previous studies that use a single model to forecast mortality rates, we develop a novel approach based on a Bayesian Model Ensemble of generalised age-period-cohort stochastic mortality models. To determine which models received a greater or lesser weight in the final projections, we implemented a backtesting cross-validation approach. We use Taiwan (mortality, yield curve and stock market) data from 1980 to 2019 and adopt a longevity option decomposition valuation approach. The empirical results provide significant valuation and policy insights for building post-retirement income, particularly in Asian countries.APSI - Associação Portuguesa de Sistemas de InformaçãoNOVA Information Management School (NOVA IMS)Information Management Research Center (MagIC) - NOVA Information Management SchoolRUNBravo, Jorge Miguel2022-07-15T22:15:41Z2020-102020-10-01T00:00:00Zconference objectinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://hdl.handle.net/10362/141921engPURE: 26037463info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-05-22T18:03:28Zoai:run.unl.pt:10362/141921Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-05-22T18:03:28Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach
title Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach
spellingShingle Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach
Bravo, Jorge Miguel
Bayesian Model Ensemble
Forecasting methods
Longevity options
Longevity-linked life annuities
Pension design
Information Systems and Management
Management Information Systems
Management of Technology and Innovation
Information Systems
Computer Science Applications
SDG 1 - No Poverty
SDG 5 - Gender Equality
SDG 8 - Decent Work and Economic Growth
SDG 10 - Reduced Inequalities
title_short Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach
title_full Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach
title_fullStr Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach
title_full_unstemmed Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach
title_sort Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach
author Bravo, Jorge Miguel
author_facet Bravo, Jorge Miguel
author_role author
dc.contributor.none.fl_str_mv NOVA Information Management School (NOVA IMS)
Information Management Research Center (MagIC) - NOVA Information Management School
RUN
dc.contributor.author.fl_str_mv Bravo, Jorge Miguel
dc.subject.por.fl_str_mv Bayesian Model Ensemble
Forecasting methods
Longevity options
Longevity-linked life annuities
Pension design
Information Systems and Management
Management Information Systems
Management of Technology and Innovation
Information Systems
Computer Science Applications
SDG 1 - No Poverty
SDG 5 - Gender Equality
SDG 8 - Decent Work and Economic Growth
SDG 10 - Reduced Inequalities
topic Bayesian Model Ensemble
Forecasting methods
Longevity options
Longevity-linked life annuities
Pension design
Information Systems and Management
Management Information Systems
Management of Technology and Innovation
Information Systems
Computer Science Applications
SDG 1 - No Poverty
SDG 5 - Gender Equality
SDG 8 - Decent Work and Economic Growth
SDG 10 - Reduced Inequalities
description Bravo, J. M. (2020). Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach. CAPSI 2020. 20ª Conferência da Associação Portuguesa de Sistemas de Informação.
publishDate 2020
dc.date.none.fl_str_mv 2020-10
2020-10-01T00:00:00Z
2022-07-15T22:15:41Z
dc.type.driver.fl_str_mv conference object
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/141921
url http://hdl.handle.net/10362/141921
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv PURE: 26037463
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv APSI - Associação Portuguesa de Sistemas de Informação
publisher.none.fl_str_mv APSI - Associação Portuguesa de Sistemas de Informação
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv mluisa.alvim@gmail.com
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