Longevity risk (LR) is undoubtedly a much discussed actuarial subject at international level; it implicates uncertainty of mortality rates in the long term (i.e., unanticipated inter-temporal variations) and the consequent effects on long term survival probabilities. Public and private annuities providers (as pension funds and insurance companies) are involved in hedging the LR; a classical decision procedure can be structured to solve an asset-liability mismatching problem, introducing financial tools with payoff linked to longevity or mortality indexes.
Longevity risk and financial market:some issues / Baione, F.; DE ANGELIS, Paolo; Fortunati, A.; Tripodi, Agostino. - In: ADVANCES AND APPLICATIONS IN STATISTICAL SCIENCES. - ISSN 0974-6811. - STAMPA. - 6:6(2011), pp. 407-422.
Longevity risk and financial market:some issues
Baione, F.;DE ANGELIS, Paolo;TRIPODI, AGOSTINO
2011
Abstract
Longevity risk (LR) is undoubtedly a much discussed actuarial subject at international level; it implicates uncertainty of mortality rates in the long term (i.e., unanticipated inter-temporal variations) and the consequent effects on long term survival probabilities. Public and private annuities providers (as pension funds and insurance companies) are involved in hedging the LR; a classical decision procedure can be structured to solve an asset-liability mismatching problem, introducing financial tools with payoff linked to longevity or mortality indexes.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.