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Geographical diversification and longevity risk mitigation in annuity portfolios

Geographical diversification and longevity risk mitigation in annuity portfolios
Recurso electrónico / Electronic resource
MARC record
Tag12Value
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001  MAP20210027253
003  MAP
005  20210920101726.0
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20210031809‎$a‎Rosa, Clemente de
24510‎$a‎Geographical diversification and longevity risk mitigation in annuity portfolios‎$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
7001 ‎$0‎MAPA20120013452‎$a‎Regis, Luca
7730 ‎$w‎MAP20077000420‎$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