Luciano, Elisa; Regis, Luca - International Centre for Economic Research (ICER) - 2012
Longevity risk transfer is a popular choice for annuity providers such as pension funds. This paper formalizes the trade-off between the cost and the risk relief of such choice, when the annuity provider uses value- at-risk to assess risk. Using first-order approximations we show that, if the...