Systematic longevity risk: to bear or to insure?

被引：8

作者：

Boon, Ling-Ni ^{[1
]}

Briere, Marie ^{[2
,3
,4
,6
]}

Werker, Bas J. M. ^{[5
,6
]}

机构：

[1] Aegon, Aegonpl 50, NL-2591 TV The Hague, Netherlands

[2] Amundi, 91 Blvd Pasteur, F-75015 Paris, France

[3] PSL Res Univ, Univ Paris Dauphine, Pl Marechal de Lattre de Tassigny, F-75775 Paris 16, France

[4] Univ Libre Bruxelles, Solvay Brussels Sch Econ & Management, Ctr Emile Bernheim, Ave FD Roosevelt 50,CP 145-1, B-1050 Brussels, Belgium

[5] Netspar, POB 90153, NL-5000 LE Tilburg, Netherlands

[6] Tilburg Univ, POB 90153, NL-5000 LE Tilburg, Netherlands

来源：

JOURNAL OF PENSION ECONOMICS & FINANCE | 2020年 / 19卷 / 03期

关键词：

Group Self-Annuitization (GSA); insurance; longevity risk; variable annuity; PORTFOLIO CHOICE; STOCHASTIC MORTALITY; LIFE-INSURANCE; LEE-CARTER; ANNUITIES; MODEL; CONSUMPTION; STRATEGIES; MANAGEMENT; SELECTION;

D O I：

10.1017/S1474747219000192

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We compare two contracts for managing systematic longevity risk in retirement: a collective arrangement that distributes the risk among participants, and a market-provided annuity contract. We evaluate the contracts' appeal with respect to the retiree's welfare, and the viability of the market solution through the financial reward to the annuity provider's equityholders. We find that individuals prefer to bear the risk under a collective arrangement than to insure it with a life insurers' annuity contract subject to insolvency risk (albeit small). Under realistic capital provision hypotheses, the annuity provider is incapable of adequately compensating its equityholders for bearing systematic longevity risk.

引用

页码：409 / 441

页数：33

共 89 条

[81]

Willis Towers Watson, 2017, FTSE 350 DEF CONTR P

[82] NATURAL HEDGING STRATEGIES FOR LIFE INSURERS: IMPACT OF PRODUCT DESIGN AND RISK MEASURE [J].

Wong, Andy ;

Sherris, Michael ;

Stevens, Ralph .

JOURNAL OF RISK AND INSURANCE, 2017, 84 (01) :153-175

[83]

Xu JQ, 2016, MORTALITY US 2015

[84] UNCERTAIN LIFETIME, LIFE-INSURANCE, AND THE THEORY OF THE CONSUMER [J].

YAARI, ME .

REVIEW OF ECONOMIC STUDIES, 1965, 32 :137-150

[85]

Yang J, 2016, 2015 TARGET DATA FUN

[86] Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs [J].

Yao, Dingjun ;

Yang, Hailiang ;

Wang, Rongming .

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2011, 211 (03) :568-576

[87] Portfolio choice in retirement: Health risk and the demand for annuities, housing, and risky assets [J].

Yogo, Motohiro .

JOURNAL OF MONETARY ECONOMICS, 2016, 80 :17-34

[88] An Incentive-Compatible Experiment on Probabilistic Insurance and Implications for an Insurer's Solvency Level [J].

Zimmer, Anja ;

Gruendl, Helmut ;

Schade, Christian D. ;

Glenzer, Franca .

JOURNAL OF RISK AND INSURANCE, 2018, 85 (01) :245-273

[89] Is default risk acceptable when purchasing insurance? Experimental evidence for different probability representations, reasons for default, and framings [J].

Zimmer, Anja ;

Schade, Christian ;

Gruendl, Helmut .

JOURNAL OF ECONOMIC PSYCHOLOGY, 2009, 30 (01) :11-23

← 1 2 3 4 5 6 7 8 9 →