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Optimum and risk-class pricing of annuities

Sheshinski, Eytan - 2003

When information on longevity (survival functions) is unknown early in life, individuals have an interest to insure themselves against future "risk-class" classification. Accordingly, the First-Best typically involves transfers across states of nature. Competitive equilibrium cannot provide such...

Persistent link: https://www.econbiz.de/10011506208

Note on the optimum pricing of annuities

Sheshinski, Eytan - 2003

In a perfectly competitive market for annuities with full information, the price of annuities is equal to individuals (discounted) survival probabilities. That is, prices are actuarially fair. In contrast, the pricing implicit in social security systems invariably allows for cross subsidization...

Persistent link: https://www.econbiz.de/10011506431

Spouses' dependence across generations and pricing impact on reversionary annuities

Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - In: Risks : open access journal 4 (2016) 2, pp. 1-18

stochastic mortality intensity. We find that a generation-based model is important, since spouses' dependence decreases when …

Persistent link: https://www.econbiz.de/10011507502

On the demographics and the severity of the social security crisis

Gahramanov, Emin - In: The B.E. journal of economic analysis & policy 16 (2016) 2, pp. 1001-1028

Persistent link: https://www.econbiz.de/10011508028

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

Reforming retirement age in DB and DC pension systems in an aging OLG economy with heterogenous agents

Tyrowicz, Joanna; Makarski, Krzysztof; Bielecki, Marcin - In: IZA journal of labor policy 5 (2016) 8, pp. 1-36

We analyze the effects of increasing the retirement age in two economies with overlapping generations and within cohort ex ante heterogeneity. The first economy has a defined benefit system, and the second economy is in transition from a defined benefit to a defined contribution. We find that if...

Persistent link: https://www.econbiz.de/10011522240

Complex decision making : the roles of cognitive limitations, cognitive decline and ageing

Keane, Michael P.; Thorp, Susan - 2016 - Revised September 9, 2016

Persistent link: https://www.econbiz.de/10011555329

Frailty and risk classification for life annuity portfolios

Olivieri, Annamaria; Pitacco, Ermanno - In: Risks : open access journal 4 (2016) 4, pp. 1-23

more important issue that we address. In actuarial practice, the different mortality levels of the several risk classes are … obtained by applying adjustment coefficients to population mortality rates. Such a choice is not supported by a rigorous model …. On the other hand, the heterogeneity of a population with respect to mortality can formally be described with a frailty …

Persistent link: https://www.econbiz.de/10011556664

Putting the pension back in 401(k) plans : optimal versus default longevity income annuities

Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2016

Persistent link: https://www.econbiz.de/10011563017

Is an early retirement offer good for your health? Quasi-experimental evidence from the army

Hallberg, Daniel; Johansson, Per-Olov; Josephson, Malin - In: Journal of health economics 44 (2015), pp. 274-285

Persistent link: https://www.econbiz.de/10011563791