Abstract
The insurance industry is facing some specific challenges related to longevity risk. More and more capital has to be constituted to face this long-term risk, and new regulations in Europe, together with the recent financial crisis only amplify this phenomenon. Hence, it has become more important for insurance companies and pension funds to find a suitable and efficient way to cross-hedge or to transfer part of the longevity risk to reinsurers or to financial markets.In this study, we analyze some models of mortality rates and pricing the longevity risk. We make some remarks regarding forecasting mortality rates using the Lee-Carter model and our own developed model. Also, we deal with the securitization of longevity risk through the longevity bonds (the straight bonds), the interest being split between the annuity provider and the investors depending on the realized mortality at each future time, by a Special Purpose Company (SPC).
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Mircea, I., Covrig, M. (2011). On the Longevity Risk in the Annuity Market: Some Mathematical Models. In: Zhou, M. (eds) Advances in Education and Management. ISAEBD 2011. Communications in Computer and Information Science, vol 211. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-23062-2_25
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DOI: https://doi.org/10.1007/978-3-642-23062-2_25
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-23061-5
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