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A managed volatility investment strategy for pooled annuity products
Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30
. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …
Persistent link: https://www.econbiz.de/10013363078
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A Managed Volatility Investment Strategy for Pooled Annuity Products
Li, Shuanglan - 2019
. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …
Persistent link: https://www.econbiz.de/10012862695
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Portfolio Choice in Retirement - What is the Optimal Home Equity Release Product?
Hanewald, Katja - 2013
longevity, long-term care, house price, and interest rate risk. The individual can choose to buy annuities, long-term care … change the demand for annuities …
Persistent link: https://www.econbiz.de/10013080422
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Portfolio Choice in Retirement : What is the Optimal Home Equity Release Product?
Hanewald, Katja - 2014
release home equity using reverse mortgages or home reversion plans, to buy annuities, and long-term care insurance. The …
Persistent link: https://www.econbiz.de/10013056467
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Portfolio Choice in Retirement – What is the Optimal Home Equity Release Product?
Hanewald, Katja - 2014
release home equity using reverse mortgages or home reversion plans, to buy annuities, and long-term care insurance. The …
Persistent link: https://www.econbiz.de/10013057286
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Market Price of Longevity Risk for a Multi-Cohort Mortality Model with Application to Longevity Bond Option Pricing
Sherris, Michael - 2018
The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk factors, but also the attitude of investors towards those factors. In this research, we investigate how to estimate the market risk premium of longevity risk using investable...
Persistent link: https://www.econbiz.de/10012927869
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Heterogeneity of Australian Population Mortality and Implications for a Viable Life Annuity Market
Sherris, Michael - 2018
factors to allow for this heterogeneity. In the case of life annuities, there is limited underwriting used. Life insurers rely … above average longevity. This leads to annuities being less attractive to a wide range of individuals, and limits the … increasing use of rating for life annuity pricing such as impaired annuities and postcode underwriting in the UK. In order to …
Persistent link: https://www.econbiz.de/10012940514
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Consistent Dynamic Affine Mortality Models for Longevity Risk Applications
Blackburn, Craig - 2012
This paper proposes and calibrates a consistent multi-factor affine term structure mortality model for longevity risk applications. We show that this model is appropriate for fitting historical mortality rates. Without traded mortality instruments the choice of risk-neutral measure is not unique...
Persistent link: https://www.econbiz.de/10013114791
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Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk
Hanewald, Katja; Piggott, John; Sherris, Michael - 2011
systematic and idiosyncratic longevity risk. Portfolios include: fixed life annuities, deferred annuities, inflation …-indexed annuities, phased withdrawals and recently proposed group self-annuitization (GSA) plans. GSA plans are found to replace even … loadings, coinsurance portfolio strategies with phased withdrawals and GSA’s dominate portfolios with life annuities or …
Persistent link: https://www.econbiz.de/10014178617
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Integrating Financial and Demographic Longevity Risk Models : An Australian Model for Financial Applications
Sherris, Michael; Wills, Samuel - 2011
Since its introduction, the Lee Carter model has been widely adopted as a means of modelling the distribution of projected mortality rates. Increasingly attention is being placed on alternative models and, importantly in the financial and actuarial literature, on models suited to risk management...
Persistent link: https://www.econbiz.de/10014217756