Measurement of Longevity Risk of Life Annuity Based on C-ROSS Framework

Ming Zhao, Ziwen Li, Yinge Cai and Weiting Li

Mathematical Problems in Engineering, 2020, vol. 2020, 1-8

Abstract:

This paper constructs a model to measure longevity risk and explains the reasons for restricting the supply of annuity products in life insurance companies. According to the Lee–Carter Model and the VaR-based stochastic simulation, it can be found that the risk margin of the first type of longevity risk for ignoring the improvement of mortality rate is about 7%, and the risk margin of the second type of longevity risk for underestimating mortality improvement is about 7%. Therefore, the insurer needs to use cohort life table pricing premium and gradually prepares longevity risk capital during the insurance period.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:1746413

DOI: 10.1155/2020/1746413

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