De-risking strategy: Longevity spread buy-in

D'Amato, V., di Lorenzo, E., Haberman, S., Sagoo, P. & Sibillo, M. (2018). De-risking strategy: Longevity spread buy-in. Insurance Mathematics and Economics, 79, pp. 124-136. doi: 10.1016/j.insmatheco.2018.01.004

[img]
Preview
Text - Published Version
Download (2MB) | Preview

Abstract

The paper proposes a demographic de-risking strategy for a pension provider, to deal with the future uncertainty in longevity over a long time horizon. The innovative idea of a longevity spread buy-in is presented. The formulae for calculating the buy-in premium are proposed in the case of pension plans. The proposal directly impacts the pension provider’s risk management systems and hence can be an important part of the overall approach to risk management. The numerical results, developed under specified stochastic hypotheses for the dynamics of the underlying financial and demographic processes, show how the proposal of the paper can be practically implemented.

Item Type: Article
Additional Information: © 2018 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc- nd/4.0/)
Uncontrolled Keywords: Buy-in, De-risking strategy, Longevity risk, Actuarial valuations, Survival functions
Divisions: Cass Business School > Faculty of Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/19482

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics