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Longevity risk measurement of life annuity products
Diffouo, Pauline M. Ngugnie; Devolder, Pierre - In: Risks : open access journal 8 (2020) 1/31, pp. 1-16
This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life …
Persistent link: https://www.econbiz.de/10012203435
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Capital allocation to meet mortality risks for life annuities
Olivieri, Annamaria; Pitacco, Ermanno - In: The ICFAI university journal of financial risk … 6 (2009) 1, pp. 36-54
Persistent link: https://www.econbiz.de/10003837541
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Bringing cost transparency to the life annuity market
Donnelly, Catherine; Guillén, Montserrat; Nielsen, … - In: Insurance / Mathematics & economics 56 (2014), pp. 14-27
Persistent link: https://www.econbiz.de/10010385045
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Hedging pure endowments with mortality derivatives
Wang, Ting; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 238-255
Persistent link: https://www.econbiz.de/10011533915
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The uncertainty risk driver within a life annuity context : an overvierw
Di Lorenzo, Emilia; Sibillo, Marilena - In: Problems and perspectives in management : PPM ; … 13 (2015) 3, pp. 18-27
Persistent link: https://www.econbiz.de/10011502227
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Frailty and risk classification for life annuity portfolios
Olivieri, Annamaria; Pitacco, Ermanno - In: Risks : open access journal 4 (2016) 4, pp. 1-23
then supposed to become larger and more heterogeneous. With respect to the insurer’s risk profile, there is a trade … more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … model. We suggest adopting a frailty model for risk classification. We identify risk groups (or classes) within the …
Persistent link: https://www.econbiz.de/10011556664
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Actuarial fairness and solidarity in pooled annuity funds
Donnelly, Catherine W. - In: Astin bulletin : the journal of the International … 45 (2015) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10010506429
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Special-rate life annuities : analysis of portfolio risk profiles
Pitacco, Ermanno; Tabakova, Daniela Y. - In: Risks : open access journal 10 (2022) 3, pp. 1-22
risk. Hence, the risk management objective "enhancing the company market share" can be pursued without significant … worsening of the annuity portfolio risk profile. …
Persistent link: https://www.econbiz.de/10013161533
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Solvency measurement of life annuity products
Diffouo, Pauline M. Ngugnie; Devolder, Pierre - In: International journal of theoretical and applied … 25 (2022) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10013189960
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Measuring and managing the longevity risk for an indexed life annuity
Orlando, Albina; Politano, Massimiliano - In: Problems and perspectives in management : PPM ; … 11 (2013) 2, pp. 115-126
Persistent link: https://www.econbiz.de/10010209746