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Persistent link: https://www.econbiz.de/10001683970
We analyze goods for which the amount of consumption determines the duration of consumption, focusing on health-related consumption that affects longevity. The characteristics of the demand for such goods lead to unique predictions about private pricing and investment in R&D as well as the...
Persistent link: https://www.econbiz.de/10014122060
Schon die Betrachtung der Sterblichkeit der gesetzlich Rentenversicherten macht deutlich das Sozioökonomische Merkmale großen Einfluss auf die Sterblichkeit nehmen, wie folgende denVeröffentlichungen zur Herleitung der Sterbetafel DAV2004R der Deutschen Aktuarvereinigung e.V. Köln...
Persistent link: https://www.econbiz.de/10005846562
A deferred annuity typically includes an option-like right for the policyholder. At the end of the deferment period, he may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or receive the accumulated capital as a lump sum....
Persistent link: https://www.econbiz.de/10010263765
In this paper we explore the implication of a morbidity risk for the relationship between longevity and annuitization. We divide old-age life into two periods with uncertain survival from the end of the first to the end of the second. We show that a rise in the survival rate causes different...
Persistent link: https://www.econbiz.de/10010264199
Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...
Persistent link: https://www.econbiz.de/10010265671
We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...
Persistent link: https://www.econbiz.de/10010270425
We construct a tractable discrete-time overlapping generations model of a closed economy and use it to study government redistribution of accidental bequests and private annuities in general equilibrium. Individuals face longevity risk as there is a positive probability of passing away before...
Persistent link: https://www.econbiz.de/10010270647
1 Introduction 11 1.1 Motivation 11 1.2 Pension insurance and riskmanagement 12 1.3 Solvency II 15 1.4 Value-at-Risk (VaR) 18 1.5 Insurancemodeling 19 2 Equity index model 23 2.1 Data on equity returns 23 2.2 Model specification and preliminary estimation 29 2.3 Parameter uncertainty via Markov...
Persistent link: https://www.econbiz.de/10012148908
Persistent link: https://www.econbiz.de/10004885231