Geographical diversification and longevity risk mitigation in annuity portfolios
Objetos digitales
| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20210027253 | ||
| 003 | MAP | ||
| 005 | 20210920101726.0 | ||
| 008 | 210920e20210510esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20210031809$aRosa, Clemente de | |
| 245 | 1 | 0 | $aGeographical diversification and longevity risk mitigation in annuity portfolios$cClemente De Rosa, Elisa Luciano, Luca Regis |
| 520 | $aThis paper provides a method to assess the risk relief deriving from a foreign expansion by a life insurance company. We build a parsimonious continuous-time model for longevity risk that captures the dependence across different ages in domestic versus foreign populations. We calibrate the model to portray the case of a UK annuity portfolio expanding internationally toward Italian policyholders. The longevity risk diversification benefits of an international expansion are sizable, in particular when interest rates are low. The benefits are judged based on traditional measures, such as the Risk Margin or volatility reduction, and on a novel measure, the Diversification Index. | ||
| 540 | $aLa copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"$f$uhttps://creativecommons.org/licenses/by/4.0$943 | ||
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20080545260$aRiesgos | |
| 650 | 4 | $0MAPA20080564254$aSolvencia II | |
| 700 | $0MAPA20100039649$aLuciano, Elisa | ||
| 700 | 1 | $0MAPA20120013452$aRegis, Luca | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g10/05/2021 Volumen 51 Número 2 - mayo 2021 , p. 375-410 | |
| 856 | $qapplication/pdf$w252$yRecurso electrónico / Electronic resource |