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The modern tontine : an innovative instrument for longevity risk management in an aging society
Weinert, Jan-Hendrik; Gründl, Helmut - 2016 - This version: July 22, 2016
The changing social, financial and regulatory frameworks, such as an increasingly aging society, the current low interest rate environment, as well as the implementation of Solvency II, lead to the search for new product forms for private pension provision. In order to address the various...
Persistent link: https://www.econbiz.de/10011512972
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The Modern Tontine : An Innovative Instrument for Longevity Risk Management in an Aging Society
Weinert, Jan-Hendrik - 2017
The changing social, financial and regulatory frameworks, such as an increasingly aging society, the current low interest rate environment, as well as the implementation of Solvency II, lead to the search for new product forms for private pension provision. In order to address the various...
Persistent link: https://www.econbiz.de/10012941322
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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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Interest rate risk, longevity risk and the solvency of life insurers
Berdin, Elia - 2016 - This version: September 2016
In this paper I assess the effect of interest rate risk and longevity risk on the solvency position of a life insurer selling policies with minimum guaranteed rate of return, profit participation and annuitization option at maturity. The life insurer is assumed to be based in Germany and...
Persistent link: https://www.econbiz.de/10011535876
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Correlated risks: a conflict of interest between insurers and consumers and its resolution
Eugster, Patrick (contributor); Zweifel, Peter (contributor) - 2006
This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively...
Persistent link: https://www.econbiz.de/10003354444
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The role of labor-income risk in household risk-taking?
Hubar, Sylwia; Koulovatianos, Christos; Li, Jian - 2020
In fifteen European countries, China, and the US, stocks and business equity as a share of total household assets are represented by an increasing and convex function of income/wealth. A parsimonious model fitted to the data shows why background labor-income risk can explain much of this...
Persistent link: https://www.econbiz.de/10012251025
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Heterogeneity and risk sharing in village economies
Chiappori, Pierre-André; Krislert Samphantharak; … - In: Quantitative economics : QE ; journal of the … 5 (2014) 1, pp. 1-27
We show how to use panel data on household consumption to directly estimate households’ risk preferences. Specifically, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we then test allowing for this heterogeneity. There is...
Persistent link: https://www.econbiz.de/10011757115
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Tail Index-Linked Annuity : A Longevity Risk Sharing Retirement Plan
Chen, An - 2020
that the proposed TILA leads to higher expected lifetime utility than regular annuities for policyholders with different … of the insurer, leading to substantially lower loss probability and expected (tail-) loss than regular annuities in the …
Persistent link: https://www.econbiz.de/10012826839
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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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Private Pensions and Policy Responses to the Financial and Economic Crisis
Stewart, Fiona - 2011
This paper discusses responses to current financial and economic crisis by regulators, supervisors and policy makers in the area of private pensions. These responses are examined in the light of international guidelines, best practices and recommendations to improve the design of private pensions
Persistent link: https://www.econbiz.de/10013127081