International Longevity Risk Pooling

Clemente De Rosa (), Elisa Luciano and Luca Regis ()
Additional contact information
Clemente De Rosa: Scuola Normale Superiore Pisa
Luca Regis: University of Siena, Department of Economics and Statistics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 317-321 from Springer

Abstract: Abstract This paper studies the problem of an insurance company that has to decide whether to expand her portfolio of policies selling contracts written on a foreign population. We quantify diversification across populations and cohorts using a parsimonious continuous-time model for longevity risk. We present a calibrated example, based on annuity portfolios of UK and Italian males aged 65–75. We show that diversification gains, evaluated as the reduction in the portfolio risk margin following the international expansion, can be non-negligible.

Keywords: Longevity risk; International expansion of insurance companies; Longevity risk pooling (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sprchp:978-3-319-89824-7_57

Ordering information: This item can be ordered from
http://www.springer.com/9783319898247

DOI: 10.1007/978-3-319-89824-7_57

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().