In this paper, we argue that actuarial valuation of annuity benefit streams is theoretically inconsistent with the …

manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We …, saving, and portfolio allocation patterns given stochastic and systematic mortality. Insurers have taken two approaches to … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …

interesting investigation has been in the area of annuities, which are financial products intended to cover the risk of retirees …

substantial mortality risk. We calculate that a markup of 3.7% on an annuity premium (or else shareholders' capital equal to 3 …Using the widely-cited Lee-Carter mortality model, we quantify aggregate mortality risk as the risk that the average …. Insurance companies could deal with aggregate mortality risk by transferring it to financial markets through mortality …

This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations … public pension fund management, we find evidence that funds chose greater overall asset - liability portfolio risk following …, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees …

group and individual products. We also compare results with prior analyses of adverse selection in international annuity … markets, focusing on the US, the UK, and Japan. Our results help assess the extent to which life insurers can hedge mortality …