EconPapers    
Economics at your fingertips  
 

De-risking strategy: Longevity spread buy-in

D’Amato, Valeria, Emilia Di Lorenzo, Steven Haberman, Pretty Sagoo and Marilena Sibillo

Insurance: Mathematics and Economics, 2018, vol. 79, issue C, 124-136

Abstract: The paper proposes a demographic de-risking strategy for a pension provider, to deal with the future uncertainty in longevity over a long time horizon. The innovative idea of a longevity spread buy-in is presented. The formulae for calculating the buy-in premium are proposed in the case of pension plans. The proposal directly impacts the pension provider’s risk management systems and hence can be an important part of the overall approach to risk management. The numerical results, developed under specified stochastic hypotheses for the dynamics of the underlying financial and demographic processes, show how the proposal of the paper can be practically implemented.

Keywords: Buy-in; De-risking strategy; Longevity risk; Actuarial valuations; Survival functions (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016766871730032X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:79:y:2018:i:c:p:124-136

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-10-15
Handle: RePEc:eee:insuma:v:79:y:2018:i:c:p:124-136