Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk
Katja Hanewald (),
John Piggott () and
Michael Sherris ()
Additional contact information
Michael Sherris: School of Risk and Actuarial Studies and ARC Centre of Excellence in Population Ageing Research, Australian School of Business, University of New South Wales
No 201113, Working Papers from ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales
This paper analyzes an individual's post retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi-period simulations of portfolio strategies are used to assess individual longevity insurance product portfolios with differing levels of systematic and idiosyncratic longevity risk. Portfolios include: fixed life annuities, deferred annuities, inflation-indexed annuities, phased withdrawals and recently proposed group self-annuitization (GSA) plans.
Keywords: Longevity risk; optimal insurance; life annuity; group self-annuitization (GSA); market frictions (search for similar items in EconPapers)
JEL-codes: D14 E21 G22 G23 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://cepar.edu.au/media/48655/Individual%20House%20Price%20Risk%20Models.pdf First version, 2011 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Journal Article: Individual post-retirement longevity risk management under systematic mortality risk (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:asb:wpaper:201113
Access Statistics for this paper
More papers in Working Papers from ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales Contact information at EDIRC.
Series data maintained by Elena Capatina ().