Longevity

Using Financial Tools to Manage Longevity Risk
In the past year, writing about longevity risk has become increasingly popular, whether an adviser brief about…
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How Long Will We Live? A Demographer’s Reflexions on Longevity
How long will men in France who are now 75 live? Or women? Or men or women…
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Microscopic Longevity Modeling and its Practical Applications
The current ageing of the population prompts analysis of the mortality and longevity of individuals. The study…
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Here's to a Long Life: Understanding Life Expectancy
2011-11-01Life expectancy takes on greater importance as Baby Boomers retire and we begin to realize the “risk”…
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Ambiguous Life Expectancy and the Demand for Annuities
In this paper, ambiguity aversion to uncertain survival probabilities is introduced in a life-cycle model with a…
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World life expectancy and future longevity scenarios
The first part of this document provides an overview of various studies that focus on the causes…
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Aging: a Global Phenomenon
Aging is a simple concept which nonetheless encompasses a multiplicity of more or less implicit meanings, the…
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Longevity - The Next Growth Market
Without a doubt, demand for living benefits will be substantial. The macroeconomic factors driving this – demographic…
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Understanding, modelling and managing longevity risk: key issues and main challenges
(Contributions from SCOR experts in an external publication)
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Life expectancy heterogeneity and the political support for collective annuities
Individuals, differing in productivity and life expectancy, vote over the size and type of a collective annuity.…
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Annuities and Pensions

UK-Ireland: The Contiunous Mortality Investigation carries out research into mortality experience and modelling. They produce mortality tables…

Guaranteed Annuity Options

Guaranteed Annuity Options (GAOs) are options available to holders of certain pension policies. Under these contracts, policyholders…

Secondary Market - Life settlements

The paper will focus on two broad areas:   1. Integration of insurance products with investment products…
China's Central government is currently undertaking extensive pension reforms whichrequires accurate life expectancy forecasts at both national…
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This paper investigates the problem of an "optimum population" concerning age structures in a 3-period OLG-model with…
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In any given nation, any demographic ageing and societal shrinking, if left unattended, will strongly affect economic…
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Changing demographics creates the potential for the expansion of existing and new products to manage longevity risk.…
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This paper proposes a unified framework for measuring and managing longevity risk. Specifically, we developp a flexible…
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Preparing for a future where more people live longer is one of society’s greatest challenges. The longterm…
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This report examines how individuals perceive ageing; how society empowers people to live longer, healthier, and more…
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The potential economic returns to the demographic transition are high. As countries move from a steady state…
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The world’s population is growing older, leading us into uncharted demographic waters. There will be higher absolute…
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Winner of the 2010 SCOR Actuarial Prize in Italy
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Human senescence has been delayed by a decade. This finding, documented in 1994 and bolstered since, is…
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Analysis of the basic drivers of longevity variation shows that the outlook for improvements may be easing,…
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2003-2007 | Swedish National Social Insurance Board   I. Current Practice II. Probabilistic models III. The Linear…
The changing social, financial and regulatory frameworks, such as an increasingly aging society, the current low interest…
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Longevity risk has emerged as an important risk in the early 21st century for the providers of…
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Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework to estimate…
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This paper provides a simple model for basis risk in a longevity framework, by separating common and…
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Understanding the pattern of mortality homogeneity and heterogeneity can help to model mortality dynamics and manage longevity…
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In the life settlement market mortality risk is transferred from life insurance policyholders to third party life…
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There is an accepted narrative that a growing elderly population is a consequence of increasing life expectance…
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We estimate a stochastic life-cycle model of endogenous health spending, asset accumulation and retirement to investigate the…
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The standard model of intertemporal choice assumes risk neutrality toward the length of life: due to additivity,…
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While historical declines in human mortality are clearly shaped by lifestyle and environmental improvements, modeling patterns is…
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In this note, we examine the so-called “natural hedging” approach for life insurers to internally manage their…
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Mortality improvements, especially of the elderly, have been a common phenomenon since the end of World War…
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(Thesis) Life expectancy continues to grow in most Western countries; however, a major remaining question is whether…
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This paper implements Wilmoth’s [Computational methods for fitting and extrapolating the Lee–Carter model of mortality change, Technical…
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In 1992, Lee and Carter published a new method for long-run forecasts of the level and age…
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Over the last 200 years humans experienced a huge increase of life-expectancy. These advances were largely driven…
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A Markov chain model is taken to describe the development of a multi-state life insurance policy or…
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The CMI Mortality Projections Model, CMI 2010, Continuous Mortality Investigation Working Paper 49: Working Paper 49 The…
We compare quantitatively eight stochastic models explaining improvements in mortality rates in England &Wales and in the…
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In the first part of the paper, we consider the wide range of extrapolative stochastic mortality models…
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The Lee–Carter modelling framework is extended through the introduction of a wider class of generalised, parametric, non-linear…
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In this paper we consider the evolution of the post-60 mortality curve in the UK and its…
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We investigate the feasibility of constructing mortality forecasts on the basis of the first two sets of single…
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Time series methods are used to make long-run forecasts, with confidence intervals, of age-specific mortality in the…
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Projected lifetables are used to price life annuities because they include a forecast of the future trends…
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Insurance Product

Longevity-indexed life annuities

Life > Longevity
03/2010
This paper addresses the problem of the sharing of longevity risk between an annuity provider and a…

Securitization, Reinsurance, Longevity indices

Ageing populations pose serious social policy and regulatory/supervisory challenges in many countries. Longevity risk - the risk…
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The recent activity in pension buyouts and bespoke longevity swaps suggests that a significant process of aggregation…
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The aim of LLMA is to promote a liquid traded market in longevity and mortality-related risk. They…

Research Articles

This paper provides a tractable, parsimonious model for assessing basis risk in longevity and its effect on…
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A key contribution to the development of the traded market for longevity risk was the issuance of…
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Proceedings of the Ninth International Longevity Risk and Capital Markets Solutions Conference. Ken Seng Tan, David Blake…
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In this paper, we introduce a new structured financial product: the so-called Life Nominal Chooser Swaption (LNCS).…
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We examine pension buyout transactions and longevity risk securitization in a common framework, emphasizing the role played…
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It is now widely accepted that stochastic mortality - the risk that aggregate mortality might differ from…
For annuity providers, longevity risk, i.e. the risk that future mortality trends differ from those anticipated, constitutes…
Longevity has become a high-profile risk for pension funds, insurers and other companies. However, efforts to transfer…
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Pricing and risk management for longevity risk has increasingly become a major challenge for life insurers and pension…
Longevity risk is one of the remaining frontiers challenging modern financial markets and financial engineering. Financial innovation…
Longevity risk is a major issue for insurers and pension funds, especially in the selling of annuity…
This paper addresses the problem of longevity risk - the risk of uncertain aggregate mortality - and…
This paper examines the main characteristics of longevity bonds (LBs) and shows that they can take a…
Securitization of mortality risks is an alternative risk management tool that may have some advantages over reinsurance.…
Pricing frameworks for securitization of mortality risks A.J.G. Cairns, D. Blake, K. Dowd Proceedings of the 14th…
Some sites are very rich in articles about longevity risk and the associated insurance products, our selection…

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