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Longevity-indexed annuities

Denuit, M., Haberman, S. & Renshaw, A. E. (2011). Longevity-indexed annuities. North American Actuarial Journal, 15(1), pp. 97-111. doi: 10.1080/10920277.2011.10597611


This paper addresses the problem of the sharing of longevity risk between an annuity provider and a group of annuitants. An appropriate longevity index is designed in order to adapt the amount of the periodic payments in life annuity contracts. This accounts for unexpected longevity improvements experienced by a given reference population. The approach described in the present paper is in contrast with Group Self-Annuitization where annuitants bear their own risk. Here, the annuitants only bear the non-diversifiable risk that the future mortality trend departs from that of the reference forecast. In that respect, the life annuities discussed in this paper are substitutes for reinsurance and securitization of longevity risk.

Publication Type: Article
Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis Group in North American Actuarial Journal on 27 Dec 2012, available online at:
Publisher Keywords: Longevity risk, mortality projection, Lee-Carter model
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
PDF - Accepted Version
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