scholarly journals Liability-Driven Investment in Longevity Risk Management

2016 ◽  
pp. 121-136 ◽  
Author(s):  
Helena Aro ◽  
Teemu Pennanen
Keyword(s):  
Risk Management ◽  
Longevity Risk

Robust Longevity Risk Management

2014 ◽  
Author(s):  
Hong Li ◽  
Anja De Waegenaere ◽  
Bertrand Melenberg
Keyword(s):  
Risk Management ◽  
Longevity Risk

Optimal Longevity Risk Management in the Retirement Stage of the Life Cycle

2018 ◽  
Vol 5 (3) ◽  
pp. 73-92
Author(s):  
Koray D. Simsek ◽  
Min Jeong Kim ◽  
Woo Chang Kim ◽  
John M. Mulvey
Keyword(s):  
Risk Management ◽  
Life Cycle ◽  
Longevity Risk

Cohort and value-based multi-country longevity risk management

2020 ◽  
Vol 2020 (7) ◽  
pp. 650-676
Author(s):  
Michael Sherris ◽  
Yajing Xu ◽  
Jonathan Ziveyi
Keyword(s):  
Risk Management ◽  
Longevity Risk

Individual post-retirement longevity risk management under systematic mortality risk

2013 ◽  
Vol 52 (1) ◽  
pp. 87-97 ◽  
Author(s):  
Katja Hanewald ◽  
John Piggott ◽  
Michael Sherris
Keyword(s):  
Risk Management ◽  
Mortality Risk ◽  
Longevity Risk

LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS

2016 ◽  
Vol 47 (1) ◽  
pp. 43-77 ◽  
Author(s):  
Craig Blackburn ◽  
Katja Hanewald ◽  
Annamaria Olivieri ◽  
Michael Sherris
Keyword(s):  
Risk Management ◽  
Shareholder Value ◽  
Capital Requirements ◽  
Demand Elasticity ◽  
Longevity Risk ◽  
Risk Transfer ◽  
Life Annuity ◽  
Life Insurer ◽  
The Cost ◽  
The Impact

AbstractThe life annuity business is heavily exposed to longevity risk. Risk transfer solutions are not yet fully developed, and when available they are expensive. A significant part of the risk must therefore be retained by the life insurer. So far, most of the research work on longevity risk has been mainly concerned with capital requirements and specific risk transfer solutions. However, the impact of longevity risk on shareholder value also deserves attention. While it is commonly accepted that a market-consistent valuation should be performed in this respect, the definition of a fair shareholder value for a life insurance business is not trivial. In this paper, we develop a multi-period market-consistent shareholder value model for a life annuity business. The model allows for systematic and idiosyncratic longevity risk and includes the most significant variables affecting shareholder value: the cost of capital (which in a market-consistent setting must be quantified in terms of frictional and agency costs, net of the value of the limited liability put option), policyholder demand elasticity and the cost of alternative longevity risk management solutions, namely indemnity-based and index-based solutions. We show how the model can be used for assessing the impact of different longevity risk management strategies on life insurer shareholder value and solvency.

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