The paper proposes a demographic de-risking strategy for a pension provider, to deal with the future uncertainty in longevity over a long time horizon. The innovative idea of a longevity spread buy-in is presented. The formulae for calculating the buy-in premium are proposed in the case of pension plans. The proposal directly impacts the pension provider’s risk management systems and hence can be an important part of the overall approach to risk management. The numerical results, developed under specified stochastic hypotheses for the dynamics of the underlying financial and demographic processes, show how the proposal of the paper can be practically implemented.
De-risking strategy: Longevity spread buy-in / D’Amato, Valeria; DI LORENZO, Emilia; Haberman, Steven; Sagoo, Pretty; Sibillo, Marilena. - In: INSURANCE MATHEMATICS & ECONOMICS. - ISSN 0167-6687. - 79:(2018), pp. 124-136.
De-risking strategy: Longevity spread buy-in
Emilia Di Lorenzo;
2018
Abstract
The paper proposes a demographic de-risking strategy for a pension provider, to deal with the future uncertainty in longevity over a long time horizon. The innovative idea of a longevity spread buy-in is presented. The formulae for calculating the buy-in premium are proposed in the case of pension plans. The proposal directly impacts the pension provider’s risk management systems and hence can be an important part of the overall approach to risk management. The numerical results, developed under specified stochastic hypotheses for the dynamics of the underlying financial and demographic processes, show how the proposal of the paper can be practically implemented.| File | Dimensione | Formato | |
|---|---|---|---|
|
De_risking strategy Longevity spread buy_in.pdf
accesso aperto
Descrizione: De_risking strategy Longevity spread buy_in
Licenza:
Dominio pubblico
Dimensione
2.19 MB
Formato
Adobe PDF
|
2.19 MB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
