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Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk

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  • Stevens, R.S.P.

    (Tilburg University, Center For Economic Research)

  • De Waegenaere, A.M.B.

    (Tilburg University, Center For Economic Research)

  • Melenberg, B.

    (Tilburg University, Center For Economic Research)

Abstract

No abstract is available for this item.

Suggested Citation

  • Stevens, R.S.P. & De Waegenaere, A.M.B. & Melenberg, B., 2011. "Longevity Risk and Natural Hedge Potential in Portfolios Of Life Insurance Products : The Effect of Investment Risk," Discussion Paper 2011-036, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:a3e07689-4b6b-4987-852c-38003a8777e5
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/1325143/2011-036.pdf
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    References listed on IDEAS

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    1. Koissi, Marie-Claire & Shapiro, Arnold F. & Hognas, Goran, 2006. "Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 1-20, February.
    2. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
    3. Denuit, Michel, 2008. "Comonotonic approximations to quantiles of life annuity conditional expected present value," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 831-838, April.
    4. Olivieri, Annamaria & Pitacco, Ermanno, 2003. "Solvency requirements for pension annuities," Journal of Pension Economics and Finance, Cambridge University Press, vol. 2(2), pages 127-157, July.
    5. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
    6. Carter, Lawrence R. & Lee, Ronald D., 1992. "Modeling and forecasting US sex differentials in mortality," International Journal of Forecasting, Elsevier, vol. 8(3), pages 393-411, November.
    7. Yijia Lin & Samuel H. Cox, 2005. "Securitization of Mortality Risks in Life Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 227-252, June.
    8. Brouhns, Natacha & Denuit, Michel & Vermunt, Jeroen K., 2002. "A Poisson log-bilinear regression approach to the construction of projected lifetables," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 373-393, December.
    9. Dowd, Kevin & Cairns, Andrew J.G. & Blake, David, 2006. "Mortality-dependent financial risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 427-440, June.
    10. Olivieri, Annamaria, 2001. "Uncertainty in mortality projections: an actuarial perspective," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 231-245, October.
    11. Hélène Cossette & Antoine Delwarde & Michel Denuit & Frédérick Guillot & Étienne Marceau, 2007. "Pension Plan Valuation and Mortality Projection," North American Actuarial Journal, Taylor & Francis Journals, vol. 11(2), pages 1-34.
    12. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 687-718, December.
    13. Olivia S Mitchell & John Piggott & Michael Sherris & Shaun Yow, 2006. "Financial Innovation for an Ageing World," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Anna Park & Daniel Rees (ed.),Demography and Financial Markets, Reserve Bank of Australia.
    14. Kevin Dowd & David Blake & Andrew J. G. Cairns & Paul Dawson, 2006. "Survivor Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(1), pages 1-17, March.
    15. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 505-519, April.
    16. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.
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    Cited by:

    1. Elisa Luciano & Luca Regis & Elena Vigna, 2017. "Single- and Cross-Generation Natural Hedging of Longevity and Financial Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 961-986, September.
    2. Jevtić, Petar & Regis, Luca, 2015. "Assessing the solvency of insurance portfolios via a continuous-time cohort model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 36-47.
    3. van Gulick, Gerwald & De Waegenaere, Anja & Norde, Henk, 2012. "Excess based allocation of risk capital," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 26-42.

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