Longevity-contingent deferred life annuities

Denuit, M., Haberman, S. & Renshaw, A. E. (2015). Longevity-contingent deferred life annuities. Journal of Pension Economics and Finance, 14(3), pp. 315-327. doi: 10.1017/S147474721400050X

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Considering the substantial systematic longevity risk threatening annuity providers' solvency, indexing benefits on actual mortality improvements appears to be an efficient risk management tool, as discussed in Denuit et al. (2011) and Richter and Weber (2011). Whereas these papers consider indexing annuity payments, the present work suggests that the length of the deferment period could also be subject to revision, providing longevity-contingent deferred life annuities.

Item Type: Article
Additional Information: Copyright Cambridge Journals, 2015. Content and layout follow Cambridge University Press’s submission requirements. This version may have been revised following peer review but may be subject to further editorial input by Cambridge University Press.
Uncontrolled Keywords: Longevity risk; mortality projection; Lee–Carter model
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Divisions: Cass Business School > Faculty of Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/12163

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