Centro de Documentación de Fundación MAPFRE - The Implied longevity yield : a note on developing an index for life annuities

MAP20071506979

The Implied longevity yield : a note on developing an index for life annuities / Moshe A. Milevsky

I develop an index for tracking the dynamic behavior of life (pension) annuity payots over time, based on the concept of self-annuitization. Our implied longevity yield (ILY) value is defined equal to the internal rate of return (IRR) over a fixed deferral period that an individual would have to earn on their investable wealth if they decided to self-annuitize using a systematic with drawal plan

En: The Journal of risk and insurance. - Orlando. - Volume 72, number 2, June 2005 ; p. 301-320

1. Modelos matemáticos . 2. Mercados financieros . 3. Cálculo actuarial . 4. Planes de pensiones . 5. Estadísticas . I. Título. II. Título: The Journal of risk and insurance.