Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk

Katja Hanewald, John Piggott and Michael Sherris ()
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Michael Sherris: School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales

No 201113, Working Papers from ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales

Abstract: This paper analyzes an individual's post retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi-period simulations of portfolio strategies are used to assess individual longevity insurance product portfolios with differing levels of systematic and idiosyncratic longevity risk. Portfolios include: fixed life annuities, deferred annuities, inflation-indexed annuities, phased withdrawals and recently proposed group self-annuitization (GSA) plans.

Keywords: Longevity risk; optimal insurance; life annuity; group self-annuitization (GSA); market frictions (search for similar items in EconPapers)
JEL-codes: D14 E21 G22 G23 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2011-08
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http://cepar.edu.au/media/48655/Individual%20House%20Price%20Risk%20Models.pdf First version, 2011 (application/pdf)
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Related works:
Journal Article: Individual post-retirement longevity risk management under systematic mortality risk (2013)
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