Le prix du risque de longévité

Nicole El Karoui, Caroline Hillairet, Stéphane Loisel and Yahia Salhi

Revue d'économie financière, 2019, vol. N° 133, issue 1, 129-145

Abstract: In this article, we address the issue of the price of longevity risk. We begin by describing the risk of longevity and its components, distinguishing biometric, financial and regulatory aspects. We then explain the different valuation frameworks (actuarial, financial and regulatory), their common points and their differences. We discuss the issue of discounting and modeling long-term interest rates for longevity risk management. We also give details on the subjective and pragmatic way to handle different components of longevity risk, especially the most extreme, in the market. Classification JEL : G12, I13.

JEL-codes: G12 I13 (search for similar items in EconPapers)
Date: 2019
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