Redistribution of longevity risk
| Autor: | Henk Norde, Tim J. Boonen, Anja De Waegenaere |
|---|---|
| Přispěvatelé: | Actuarial Science & Mathematical Finance (ASE, FEB), Econometrics and Operations Research, Research Group: Operations Research |
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Bargaining problem Actuarial science Longevity risk Exploit Risk redistribution Heterogeneous beliefs 05 social sciences Liability Life annuity Redistribution (cultural anthropology) 01 natural sciences 010104 statistics & probability Natural hedge potential 0502 economics and business Economics Portfolio Nash bargaining 050207 economics 0101 mathematics Statistics Probability and Uncertainty Hedge (finance) |
| Zdroj: | Insurance: Mathematics & Economics, 72, 175-188. Elsevier Insurance: Mathematics & Economics, 72, 175-188. Elsevier Science BV |
| ISSN: | 1873-5959 0167-6687 |
| DOI: | 10.1016/j.insmatheco.2016.11.004 |
| Popis: | Existing literature regarding the natural hedge potential that arises from combining different longevity linked liabilities typically does not address the question how changes in the liability mix can be obtained. We consider firms who aim to exploit the benefits of natural hedge potential by redistributing their risks, and characterize the risk redistributions that will arise when the parties bargain for a redistribution of risk that weakly benefits them all. We analyze the effects of heterogeneity in the beliefs regarding the probability distribution of future mortality rates on the properties of these risk redistributions, and provide a numerical illustration for a case where an insurer with a portfolio of term assurance contracts and a pension fund with a portfolio of life annuities redistribute their risks. (C) 2016 Elsevier B.V. All rights reserved. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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