Geographical diversification and longevity risk mitigation in annuity portfolios

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<dc:creator>Rosa, Clemente de</dc:creator>
<dc:creator>Luciano, Elisa</dc:creator>
<dc:creator>Regis, Luca</dc:creator>
<dc:date>2021-05-10</dc:date>
<dc:description xml:lang="es">Sumario: This 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.

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<dc:format xml:lang="en">application/pdf</dc:format>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/177042.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">https://creativecommons.org/licenses/by/4.0</dc:rights>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:subject xml:lang="es">Riesgos</dc:subject>
<dc:subject xml:lang="es">Solvencia II</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Geographical diversification and longevity risk mitigation in annuity portfolios</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 10/05/2021 Volumen 51 Número 2 - mayo 2021 , p. 375-410</dc:relation>
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