Individual post-retirement longevity risk management under systematic mortality risk

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      <subfield code="a">Hanewald, Katja</subfield>
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      <subfield code="a">Individual post-retirement longevity risk management under systematic mortality risk</subfield>
      <subfield code="c">Katja Hanewald, John Piggott, Michael Sherris</subfield>
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      <subfield code="a">This paper analyzes an individuals post-retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi-period simulations of portfolio strategies are used to assess individual longevity insurance product portfolios with different levels of systematic and idiosyncratic longevity risk. Portfolios include: fixed life annuities, deferred annuities, inflation-indexed annuities, phased withdrawals and recently proposed group self-annuitization (GSA) plans. GSA plans are found to replace even inflation-indexed annuity products when there are loadings on guaranteed life annuity products. With a bequest motive and loadings, coinsurance portfolio strategies with phased withdrawals and GSAs dominate portfolios with life annuities or deferred annuities.</subfield>
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      <subfield code="w">MAP20077100574</subfield>
      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">07/01/2013 Volumen 52 Número 1  - enero 2013 </subfield>
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