Participating life annuities incorporating longevity risk sharing arrangements
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10174/6844 |
Resumo: | In this paper we develop a conceptual framework for the payout phase in which annuity providers and policyholders share longevity and investment risks in a flexible way. To be more precise, we develop an participating life annuity product in which systematic longevity risk, i.e., the risk associated with systematic deviations from mortality rates extracted from prospective life tables derived for the Portuguese population, is shared between both counterparties. This will address some of the main demand and supply constraints in annuity markets, namely the inexistence of prospective life tables for the Portuguese population, the perception of unfair pricing, the consideration of bequest motives, adverse selection problems or the lack of financial instruments to hedge against longevity risk. Contrary to traditional GSA's, in which surviving policyholders bear both systematic and unsystematic longevity risk, we devise a contract in which, in exchange for a relatively small premium, annuitants will bear only the part of longevity that exceeds pre-determined thresholds. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Participating life annuities incorporating longevity risk sharing arrangementslongevity riskannuitiesaffine modelsstochastic mortalitylongevity-linked derivativesIn this paper we develop a conceptual framework for the payout phase in which annuity providers and policyholders share longevity and investment risks in a flexible way. To be more precise, we develop an participating life annuity product in which systematic longevity risk, i.e., the risk associated with systematic deviations from mortality rates extracted from prospective life tables derived for the Portuguese population, is shared between both counterparties. This will address some of the main demand and supply constraints in annuity markets, namely the inexistence of prospective life tables for the Portuguese population, the perception of unfair pricing, the consideration of bequest motives, adverse selection problems or the lack of financial instruments to hedge against longevity risk. Contrary to traditional GSA's, in which surviving policyholders bear both systematic and unsystematic longevity risk, we devise a contract in which, in exchange for a relatively small premium, annuitants will bear only the part of longevity that exceeds pre-determined thresholds.Innovation in Retirement Award - Programa Consciência Leve, Fidelidade - Companhia de Seguros S.A, 2009.2012-12-14T17:15:33Z2012-12-142009-09-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/6844http://hdl.handle.net/10174/6844engBravo, J. M., Real, P. C., Silva, C. M. P. Participating life annuities incorporating longevity risk sharing arrangements. Proceedings of the Innovation in Retirement Award - Programa Consciência Leve, Fidelidade - Companhia de Seguros S.A, 2009.jbravo@uevora.ptndndBravo, JorgeReal, PedroSilva, Carlosinfo: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:RCAAP2024-01-03T18:46:32Zoai:dspace.uevora.pt:10174/6844Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:01:31.372373Repositório 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 |
Participating life annuities incorporating longevity risk sharing arrangements |
title |
Participating life annuities incorporating longevity risk sharing arrangements |
spellingShingle |
Participating life annuities incorporating longevity risk sharing arrangements Bravo, Jorge longevity risk annuities affine models stochastic mortality longevity-linked derivatives |
title_short |
Participating life annuities incorporating longevity risk sharing arrangements |
title_full |
Participating life annuities incorporating longevity risk sharing arrangements |
title_fullStr |
Participating life annuities incorporating longevity risk sharing arrangements |
title_full_unstemmed |
Participating life annuities incorporating longevity risk sharing arrangements |
title_sort |
Participating life annuities incorporating longevity risk sharing arrangements |
author |
Bravo, Jorge |
author_facet |
Bravo, Jorge Real, Pedro Silva, Carlos |
author_role |
author |
author2 |
Real, Pedro Silva, Carlos |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Bravo, Jorge Real, Pedro Silva, Carlos |
dc.subject.por.fl_str_mv |
longevity risk annuities affine models stochastic mortality longevity-linked derivatives |
topic |
longevity risk annuities affine models stochastic mortality longevity-linked derivatives |
description |
In this paper we develop a conceptual framework for the payout phase in which annuity providers and policyholders share longevity and investment risks in a flexible way. To be more precise, we develop an participating life annuity product in which systematic longevity risk, i.e., the risk associated with systematic deviations from mortality rates extracted from prospective life tables derived for the Portuguese population, is shared between both counterparties. This will address some of the main demand and supply constraints in annuity markets, namely the inexistence of prospective life tables for the Portuguese population, the perception of unfair pricing, the consideration of bequest motives, adverse selection problems or the lack of financial instruments to hedge against longevity risk. Contrary to traditional GSA's, in which surviving policyholders bear both systematic and unsystematic longevity risk, we devise a contract in which, in exchange for a relatively small premium, annuitants will bear only the part of longevity that exceeds pre-determined thresholds. |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009-09-01T00:00:00Z 2012-12-14T17:15:33Z 2012-12-14 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10174/6844 http://hdl.handle.net/10174/6844 |
url |
http://hdl.handle.net/10174/6844 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Bravo, J. M., Real, P. C., Silva, C. M. P. Participating life annuities incorporating longevity risk sharing arrangements. Proceedings of the Innovation in Retirement Award - Programa Consciência Leve, Fidelidade - Companhia de Seguros S.A, 2009. jbravo@uevora.pt nd nd |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Innovation in Retirement Award - Programa Consciência Leve, Fidelidade - Companhia de Seguros S.A, 2009. |
publisher.none.fl_str_mv |
Innovation in Retirement Award - Programa Consciência Leve, Fidelidade - Companhia de Seguros S.A, 2009. |
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 |
|
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1817553418724573184 |