Longevity-linked life annuities: the portuguese experience

Detalhes bibliográficos
Autor(a) principal: Amorim, Ana Catarina de Almeida Marques
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/134448
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
id RCAP_632d0fe4b1cf03c5123bbdcaa25134b0
oai_identifier_str oai:run.unl.pt:10362/134448
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: the portuguese experienceLife InsuranceLongevity RiskAnnuity MarketLongevity-linked AnnuitiesRetirementDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementOver the last years, mortality rates have been declining, improving human population longevity. This exposes insurance companies and pension funds to longevity risk, which cannot be diversified since it affects all the population in the same direction. Furthermore, the longevity risk also has an impact on individuals that can outlive their assets in a context where the benefits provided by Social Security may not be enough. As a result, several solutions have been proposed to cope with longevity risk, such as, the use of new approaches in terms of product design allowing either the creation of risk-sharing mechanisms between individuals and insurers or a complete transfer of the risk from insurers to individuals. Considering that the longevity risk needs to be analyzed in accordance with the characteristics of a reference population, the recent improvements noted in the longevity of the Portuguese population, and, in order to take into account the policyholder perspective, this investigation is focused on the implementation, in terms of pricing, of two contract structures that are based on risk-sharing mechanisms, namely Longevity-index life annuities (LILA) and Longevity-contingent deferred life annuities (LDLA). To perform this study, age-specific mortality rates were forecasted through the Poisson Lee-Carter model and financial returns were projected considering a Geometric Brownian motion and the 2- factors Vasicek model. Furthermore, considering that the benefits of a LILA can change overtime, it was also calculated an Utility-equivalent fixed life annuity through the use of a Constant Relative Risk Aversion model. The results show that, when no limit is imposed on the risk transferred to the individuals, the price of a Longevity-index life annuity with profit share represents between 92.51% and 102.24% of the price of an immediate life annuity, which means that in a low-risk scenario, the losses caused by changes in longevity can be compensated by the investment returns present in the contract. Concerning the Longevity-contingent deferred life annuities, where the period of deferment changes with the dynamics of life expectancy, the results show that for the different ages, an additional period of deferment between 1 and 3 years would be needed to manage the longevity risk inherent to the contract. Finally, it is concluded that the use of longevity-linked annuities provides a relevant solution to manage the insurers’ concerns with unexpected changes in life expectancy, while also gives the individuals a chance of acquiring an annuity product at a reduced price. However, the product design should be carefully studied by the insurers, considering the implementation of limits on the risk transferred to the policyholders in order to avoid issues in terms of demand.Bravo, Jorge Miguel VenturaRUNAmorim, Ana Catarina de Almeida Marques2022-03-14T18:30:11Z2022-02-012022-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/134448TID:202962520enginfo: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:RCAAP2024-05-22T18:00:09Zoai:run.unl.pt:10362/134448Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-05-22T18:00:09Repositório 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: the portuguese experience
title Longevity-linked life annuities: the portuguese experience
spellingShingle Longevity-linked life annuities: the portuguese experience
Amorim, Ana Catarina de Almeida Marques
Life Insurance
Longevity Risk
Annuity Market
Longevity-linked Annuities
Retirement
title_short Longevity-linked life annuities: the portuguese experience
title_full Longevity-linked life annuities: the portuguese experience
title_fullStr Longevity-linked life annuities: the portuguese experience
title_full_unstemmed Longevity-linked life annuities: the portuguese experience
title_sort Longevity-linked life annuities: the portuguese experience
author Amorim, Ana Catarina de Almeida Marques
author_facet Amorim, Ana Catarina de Almeida Marques
author_role author
dc.contributor.none.fl_str_mv Bravo, Jorge Miguel Ventura
RUN
dc.contributor.author.fl_str_mv Amorim, Ana Catarina de Almeida Marques
dc.subject.por.fl_str_mv Life Insurance
Longevity Risk
Annuity Market
Longevity-linked Annuities
Retirement
topic Life Insurance
Longevity Risk
Annuity Market
Longevity-linked Annuities
Retirement
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2022
dc.date.none.fl_str_mv 2022-03-14T18:30:11Z
2022-02-01
2022-02-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/134448
TID:202962520
url http://hdl.handle.net/10362/134448
identifier_str_mv TID:202962520
dc.language.iso.fl_str_mv eng
language eng
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.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_ 1817545851482931200

Registros relacionados