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Longevity-contingent deferred life annuities

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

Abstract

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.

Publication Type: Article
Additional Information: Copyright Cambridge University Press 2015. This version may have been revised following peer review but may be subject to further editorial input by Cambridge University Press.
Publisher Keywords: Longevity risk; mortality projection; Lee–Carter model
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/5963
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