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Persistent link: https://www.econbiz.de/10003810905
In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...
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For many years the longevity risk of individuals has been underestimated as survival probabilities improved across the developed world. The uncertainty and volatility of future longevity has posed significant risk issues for both individuals and product providers of annuities and pensions. This...
Persistent link: https://www.econbiz.de/10013116210
Mortality models used to assess longevity risk and retirement funding have been extended to stochastic models with trends and systematic risk. Systematic risk cannot be readily diversified in an insurance pool or pension fund. It is an important factor in assessing solvency and highlighting the...
Persistent link: https://www.econbiz.de/10013082579
We analyze the risk and profitability of reverse mortgages with lump-sum or income stream payments from the lender's perspective. Reverse mortgage cash flows and loan balances are modeled in a multi-period stochastic framework that allows for house price risk, interest rate risk and risk of...
Persistent link: https://www.econbiz.de/10013085145
Changing demographics creates the potential for the expansion of existing and new products to manage longevity risk. Life annuities address this risk, yet these annuity product markets are thin. Insurers are concerned about the long term risks associated with these longevity products and capital...
Persistent link: https://www.econbiz.de/10013088055
This paper assesses the impact of longevity risk management on insurer shareholder value and solvency for an annual portfolio. The analysis uses a multi-period stochastic mortality model with both systematic and idiosyncratic longevity risk. We consider both survivor, or longevity, swaps that...
Persistent link: https://www.econbiz.de/10013072540