Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Mortality Risk Management PDF full book. Access full book title Mortality Risk Management by . Download full books in PDF and EPUB format.
Author: Publisher: ISBN: Category : Life insurance Languages : en Pages :
Book Description
This is a multi-essay dissertation in the area of mortality risk management. The first essay investigates natural hedging between life insurance and annuities and then proposes a mortality swap between a life insurer and an annuity insurer. Compared with reinsurance, capital markets have a greater capacity to absorb insurance shocks, and they may offer more flexibility to meet insurers' needs. Therefore, my second essay studies securitization of mortality risks in life annuities. Specifically I design a mortality bond to transfer longevity risks inherent in annuities or pension plans to financial markets. By explicitly taking into account the jumps in mortality stochastic processes, my third essay fills a gap in the mortality securitization modeling literature by pricing mortality securities in an incomplete market framework. Using the Survey of Consumer Finances, my fourth essay creates a new financial vulnerability index to examine a household's life cycle demand for different types of life insurance.
Author: Publisher: ISBN: Category : Life insurance Languages : en Pages :
Book Description
This is a multi-essay dissertation in the area of mortality risk management. The first essay investigates natural hedging between life insurance and annuities and then proposes a mortality swap between a life insurer and an annuity insurer. Compared with reinsurance, capital markets have a greater capacity to absorb insurance shocks, and they may offer more flexibility to meet insurers' needs. Therefore, my second essay studies securitization of mortality risks in life annuities. Specifically I design a mortality bond to transfer longevity risks inherent in annuities or pension plans to financial markets. By explicitly taking into account the jumps in mortality stochastic processes, my third essay fills a gap in the mortality securitization modeling literature by pricing mortality securities in an incomplete market framework. Using the Survey of Consumer Finances, my fourth essay creates a new financial vulnerability index to examine a household's life cycle demand for different types of life insurance.
Author: Geoff Chaplin Publisher: John Wiley & Sons ISBN: 0470741945 Category : Business & Economics Languages : en Pages : 406
Book Description
Recent turbulence in the financial markets has highlighted the need for diversified portfolios with lower correlations between the different investments. Life settlements meet this need, offering investors the prospect of high, stable returns, uncorrelated with the broader financial markets. This book provides readers of all levels of experience with essential information on the process surrounding the acquisition and management of a portfolio of life settlements; the assessment, modelling and mitigation of the associated longevity, interest rate and credit risks; and practical approaches to financing and risk management structures. It begins with the history of life insurance and looks at how the need for new financing sources has led to the growth of the life settlements market in the United States. The authors provide a detailed exploration of the mathematical formulae surrounding the generation of mortality curves, drawing a parallel between the tools deployed in the credit derivatives market and those available to model longevity risk. Structured products and securitisation techniques are introduced and explained, starting with simple vanilla products and models before illustrating some of the investment structures associated with life settlements. Capital market mechanisms available to assist the investor in limiting the risks associated with life settlement portfolios are outlined, as are opportunities to use life settlement portfolios to mitigate the risks of traditional capital markets. The last section of the book covers derivative products, either available now or under consideration, that will reduce or potentially eliminate longevity risks within life settlement portfolios. It then reviews hedging and risk management strategies and considers how to measure the effectiveness of risk mitigation.
Author: Frederik Weber Publisher: VVW GmbH ISBN: 3862981452 Category : Mathematics Languages : de Pages : 245
Book Description
Die Dissertation von Dr. Frederik Weber erscheint in englischer Sprache. Der demographische Wandel und die steigende Lebenserwartung haben in jüngster Zeit verstärkte Diskussionen in der Öffentlichkeit angeregt. Zusätzlich sinkende Rentenleistungen erfordern ein effizienteres Management der privaten Altersvorsorge. Gleichzeitig ergibt sich aus dieser Tatsache ein erhöhtes Risiko für Rentenanbieter aus der Unsicherheit über die zukünftige Sterblichkeitsentwicklung. Die vorliegende Arbeit beleuchtet dazu zunächst die zugrundeliegende demographische Entwicklung und unterschiedliche Ausprägungen des Langlebigkeitsrisikos. Mögliche Probleme bei der Versicherbarkeit dieses Risikos bieten Anknüpfungspunkte für die optimierte Gestaltung von Versicherungsverträgen. Neben Kohorteneffekten in der Sterblichkeitsentwicklung, für die geeignete Maßzahlen und Kriterien zur Identifikation sogenannter "Select Cohorts" diskutiert werden, steht eine Abschätzung des potenziellen Ausmaßes des Langlebigkeitsrisikos im Mittelpunkt des ersten Teils. In einer Simulation wird die Wechselbeziehung von Langlebigkeits- und Investmentrisiko in Rentenportfolios erörtert. Sie verdeutlicht die Unterschiede beider Risikoarten, zeigt jedoch für das Langlebigkeitsrisiko feinere Muster, die aufgrund fehlender Kapitalmarktinstrumente nicht vollständig abgesichert werden können. Typische Risikomanagement-Optionen erweisen sich in Bezug auf das Langlebigkeitsrisiko überwiegend als wenig hilfreich oder sinnvoll. Einzig ein verändertes aktuarielles Produktdesign in Form einer mortalitätsindexierten Leibrente (Mortality-Indexed Annuity) verspricht eine signifikante Reduktion des Risikos für Versicherer. Dieser Vorteil bestätigt sich in einer weiteren Simulation auch aus Kundenperspektive, so dass diese Produktidee dazu beitragen könnte, Angebot und Nachfrage in einem unterentwickelten Markt für private Rentenversicherungen zu stärken. The demographic transition and increasing life expectancies have increasingly been discussed also in the general public. As a consequence, reduced social security pensions increasingly challenge individuals’ retirement funding to adequately manage the individual longevity risk. In addition, pension providers face the uncertainty regarding future mortality development. The present work sketches the underlying demographic development and distinguishes different forms of longevity risk. Potential drawbacks with respect to its insurability represent natural starting points for a discussion of adequate insurance contract design. Besides cohort effects in mortality reduction, for which suitable measures and criteria to identify so called "select cohorts" are discussed, an appraisal of the potential financial impact of longevity risk is a key objective here. Further insight into its relationship to and interaction with investment risk in life annuity portfolios are the main objective of a simulation study. Although capital market risks exert a stronger direct influence on an insurer’s technical result, longevity risk turns out to be of a more subtle nature. However, this risk cannot yet be hedged with the existing capital market instruments and thus appears worthwhile to be further analyzed. Typical risk management tools prove to be less apt upon closer inspection. Solely, a modified actuarial product design in the form of a life annuity with mortality-indexed benefits shows promise for reducing insurers’ exposure. The advantageousness of such a product concept can also be confirmed from a policyholder’s perspective by means of a further simulation study so that it might contribute to stimulate supply and demand in the underdeveloped market for life annuities.
Author: Samuel H. Cox Publisher: ISBN: Category : Languages : en Pages : 41
Book Description
We provide a new method, the “MV CVaR approach”, for managing unexpected mortality changes underlying annuities and life insurance. The MV CVaR approach optimizes the mean-variance tradeoff of an insurer's mortality portfolio, subject to constraints on downside risk. We apply the method of moments and the maximum entropy method to analyze the efficiency of MV CVaR mortality portfolios relative to traditional Markowitz mean-variance portfolios. Our numerical examples illustrate the superiority of the MV CVaR approach in mortality risk management and shed new light on natural hedging effects of annuities and life insurance.
Author: OECD Publisher: OECD Publishing ISBN: 9264130802 Category : Languages : en Pages : 143
Book Description
The book presents a major meta-analysis of 'value of a statistical life' (VSL) estimates derived from surveys where people around the world have been asked about their willingness to pay for small reduction in mortality risks.
Author: Katja Hanewald Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This paper analyzes an individual's post retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi-period simulations of portfolio strategies are used to assess individual longevity insurance product portfolios with differing levels of 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 inflation-indexed annuity products when there are loadings on guaranteed life annuity products. With a bequest motive and loadings, coinsurance portfolio strategies with phased withdrawals and GSA's dominate portfolios with life annuities or deferred annuities.
Author: National Research Council Publisher: National Academies Press ISBN: 0309177855 Category : Nature Languages : en Pages : 226
Book Description
In light of recent evidence on the relationship of ozone to mortality and questions about its implications for benefit analysis, the Environmental Protection Agency asked the National Research Council to establish a committee of experts to evaluate independently the contributions of recent epidemiologic studies to understanding the size of the ozone-mortality effect in the context of benefit analysis. The committee was also asked to assess methods for estimating how much a reduction in short-term exposure to ozone would reduce premature deaths, to assess methods for estimating associated increases in life expectancy, and to assess methods for estimating the monetary value of the reduced risk of premature death and increased life expectancy in the context of health-benefits analysis. Estimating Mortality Risk Reduction and Economic Benefits from Controlling Ozone Air Pollution details the committee's findings and posits several recommendations to address these issues.
Author: Min Ji Publisher: ISBN: Category : Languages : en Pages : 141
Book Description
The combined survival status of the insured lives is a critical problem when pricing and reserving insurance products with more than one life. Our preliminary experience examination of bivariate annuity data from a large Canadian insurance company shows that the relative risk of mortality for an individual increases after the loss of his/her spouse, and that the increase is especially dramatic shortly after bereavement. This preliminary result is supported by the empirical studies over the past 50 years, which suggest dependence between a husband and wife. The dependence between a married couple may be significant in risk management of joint-life policies. This dissertation progressively explores Markovian models in pricing and risk management of joint-life policies, illuminating their advantages in dependent modeling of joint time-until-death (or other exit time) random variables. This dissertation argues that in the dependent modeling of joint-life dependence, Markovian models are flexible, transparent, and easily extended. Multiple state models have been widely used in historic data analysis, particularly in the modeling of failures that have event-related dependence. This dissertation introduces a ¡°common shock¡± factor into a standard Markov joint-life mortality model, and then extends it to a semi-Markov model to capture the decaying effect of the "broken heart" factor. The proposed models transparently and intuitively measure the extent of three types of dependence: the instantaneous dependence, the short-term impact of bereavement, and the long-term association between lifetimes. Some copula-based dependence measures, such as upper tail dependence, can also be derived from Markovian approaches. Very often, death is not the only mode of decrement. Entry into long-term care and voluntary prepayment, for instance, can affect reverse mortgage terminations. The semi-Markov joint-life model is extended to incorporate more exit modes, to model joint-life reverse mortgage termination speed. The event-triggered dependence between a husband and wife is modeled. For example, one spouse's death increases the survivor's inclination to move close to kin. We apply the proposed model specifically to develop the valuation formulas for roll-up mortgages in the UK and Home Equity Conversion Mortgages in the US. We test the significance of each termination mode and then use the model to investigate the mortgage insurance premiums levied on Home Equity Conversion Mortgage borrowers. Finally, this thesis extends the semi-Markov joint-life mortality model to having stochastic transition intensities, for modeling joint-life longevity risk in last-survivor annuities. We propose a natural extension of Gompertz' law to have correlated stochastic dynamics for its two parameters, and incorporate it into the semi-Markov joint-life mortality model. Based on this preliminary joint-life longevity model, we examine the impact of mortality improvement on the cost of a last survivor annuity, and investigate the market prices of longevity risk in last survivor annuities using risk-neutral pricing theory.
Author: 
Author: 
Author: Geoff Chaplin
Author: Ming-Hua Hsieh
Author: Frederik Weber
Author: Samuel H. Cox
Author: OECD
Author: Katja Hanewald
Author: A. Hunt
Author: National Research Council
Author: Min Ji