Pesquisa de referências

Individual post-retirement longevity risk management under systematic mortality risk

Seção: Artigos
Título: Individual post-retirement longevity risk management under systematic mortality risk / Katja Hanewald, John Piggott, Michael SherrisAutor: Hanewald, Katja
Notas: Sumario: 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.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 07/01/2013 Volumen 52 Número 1 - enero 2013 Outras classificações: 6
Referencias externas:
Ver detalhe do número