EconPapers    
Economics at your fingertips  
 

Natural immunization of an insurance portfolio against longevity risk

Arkadiusz Filip
Additional contact information
Arkadiusz Filip: Szkoła Główna Handlowa w Warszawie

Collegium of Economic Analysis Annals, 2018, issue 51, 63-92

Abstract: The aim of the article is the analysis of the possibilities for natural immunization of an insurance portfolio against longevity risk. Since different insurance products are impacted by increasing life expectancy of policyholders in a different way (life annuity payments increase, whereas payment due to life insurance policies decrease), there is a possibility of determining the portfolio structure in a way minimising the risk of the changes in the value of the total portfolio. The article presents a model built by the author, which can be used in order to determine the optimal portfolio structure. The efficiency of this model to hedge against longevity risk is then compared to other methods proposed in the literature of natural immunization. The comparison is performed with the use of historical changes in mortality in Poland based on official mortality tables published by the Central Statistical Office (GUS).

Keywords: longevity risk; immunization; mortality tables; life insurance; life annuity; duration (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://rocznikikae.sgh.waw.pl/p/roczniki_kae_z51_03.pdf Full text (application/pdf)

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:sgh:annals:i:51:y:2018:p:63-92

Access Statistics for this article

Collegium of Economic Analysis Annals is currently edited by Joanna Plebaniak, Beata Czarnacka-Chrobot

More articles in Collegium of Economic Analysis Annals from Warsaw School of Economics, Collegium of Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Michał Bernardelli ().

 
Page updated 2019-03-02
Handle: RePEc:sgh:annals:i:51:y:2018:p:63-92