Longevity-Linked Life Annuities: A Bayesian Model Ensemble Pricing Approach
Autor(a) principal: | |
---|---|
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. |
id |
RCAP_30c34688f96122717ad917024f891cb2 |
---|---|
oai_identifier_str |
oai:run.unl.pt:10362/141921 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
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 |
_version_ |
1817545875541458944 |