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Longevity-indexed life annuities

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Denuit, Michel [UCL] Haberman, Steven [City University, London, UK] Renshaw, Arthur [City University, London, UK]

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 bear only the nondiversifiable 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.

Document type Article de périodique (Journal article) – Article de recherche
Publication date 2011
Language Anglais
Journal information "North American Actuarial Journal" - , no. 15, p. 97-111 (2011)
Peer reviewed yes
Publisher Society of Actuaries ((United States) Schaumburg)
issn 1092-0277
Publication status Publié
Affiliations UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
City University, London, UK - Actuarial Science at Cass Business School
Links
Bibliographic reference Denuit, Michel ; Haberman, Steven ; Renshaw, Arthur. Longevity-indexed life annuities. In: North American Actuarial Journal, , no. 15, p. 97-111 (2011)
Permanent URL http://hdl.handle.net/2078.1/93554