Tail Index-Linked Annuity: A Longevity Risk Sharing Retirement Plan

2020 ◽  
Author(s):  
An Chen ◽  
Hong Li ◽  
Mark Schultze
Keyword(s):  
Risk Sharing ◽  
Tail Index ◽  
Longevity Risk ◽  
Retirement Plan

Tail index-linked annuity: A longevity risk sharing retirement plan

2021 ◽  
pp. 1-26
Author(s):  
An Chen ◽  
Hong Li ◽  
Mark B. Schultze
Keyword(s):  
Risk Sharing ◽  
Tail Index ◽  
Longevity Risk ◽  
Retirement Plan

scholarly journals Longevity Risk-Sharing Annuities: Partial Indexation in Mortality Experience

2017 ◽  
Vol 11 (1) ◽  
Author(s):  
Saisai Zhang ◽  
Johnny Siu-Hang Li
Keyword(s):  
Simulation Study ◽  
Risk Sharing ◽  
Idiosyncratic Risk ◽  
The Other ◽  
Longevity Risk ◽  
Partial Mortality ◽  
Mortality Experience ◽  
Other Hand

AbstractIn a conventional fixed annuity, idiosyncratic risk is diversified away while systematic longevity risk is borne entirely by the provider. The mortality-indexed annuity on the other hand, transfers systematic longevity risk completely back to the annuitants by fully adjusting benefits to mortality experience. In this paper, we propose the partial mortality-indexed annuity (PMIA), which aims to seek a balance between the two ends of the risk-sharing spectrum. Through a simulation study, we show that the PMIA achieves risk sharing and benefits both the provider and the annuitant.

LONGEVITY INSURANCE: A MISSING MARKET

2005 ◽  
Vol 50 (spec01) ◽  
pp. 417-435 ◽  
Author(s):  
ADAM CREIGHTON ◽  
HENRY HONGBO JIN ◽  
JOHN PIGGOTT ◽  
EMILIANO A. VALDEZ
Keyword(s):  
Public Policy ◽  
Demographic Transition ◽  
Risk Sharing ◽  
Theory And Practice ◽  
Insurance Market ◽  
Insurance Markets ◽  
Longevity Risk ◽  
Reverse Mortgages ◽  
Longevity Insurance ◽  
India And China

More than half of the world's old live in Asia, and around 35% in India and China alone. As demographic transition proceeds regionally and globally, the development of a robust and reliable longevity insurance market will become essential. Although the need for such insurance is most pressing in Asia, longevity risk is poorly managed practically everywhere. This paper reviews theory and practice relating to longevity risk and insurance, amid a rapidly changing demographic and policy landscape. It analyzes the reasons for the failure of longevity insurance markets, and examines possible innovations in both markets and public policy that may lead to a more vibrant market and a greater variety of longevity insurance products. These include risk sharing between the buyer and seller, "deductibles", reverse mortgages, and securitization.

scholarly journals ON THE OPTIMAL COMBINATION OF ANNUITIES AND TONTINES

2020 ◽  
Vol 50 (1) ◽  
pp. 95-129 ◽  
Author(s):  
An Chen ◽  
Manuel Rach ◽  
Thorsten Sehner
Keyword(s):  
Expected Utility ◽  
Optimal Combination ◽  
Optimal Portfolio ◽  
Longevity Risk ◽  
Retirement Income ◽  
The Novel ◽  
Retirement Plan

AbstractTontines, retirement products constructed in such a way that the longevity risk is shared in a pool of policyholders, have recently gained vast attention from researchers and practitioners. Typically, these products are cheaper than annuities, but do not provide stable payments to policyholders. This raises the question whether, from the policyholders' viewpoint, the advantages of annuities and tontines can be combined to form a retirement plan which is cheaper than an annuity, but provides a less volatile retirement income than a tontine. In this article, we analyze and compare three approaches of combining annuities and tontines in an expected utility framework: the previously introduced “tonuity”, a product very similar to the tonuity which we call “antine” and a portfolio consisting of an annuity and a tontine. We show that the payoffs of a tonuity and an antine can be replicated by a portfolio consisting of an annuity and a tontine. Consequently, policyholders achieve higher expected utility levels when choosing the portfolio over the novel retirement products tonuity and antine. Further, we derive conditions on the premium loadings of annuities and tontines indicating when the optimal portfolio is investing a positive amount in both annuity and tontine, and when the optimal portfolio turns out to be a pure annuity or a pure tontine.

The Cross-Section of Asia-Pacific Mortality Dynamics: Implications for Longevity Risk Sharing

2017 ◽  
Vol 84 (S1) ◽  
pp. 515-532 ◽  
Author(s):  
Enrico Biffis ◽  
Yijia Lin ◽  
Andreas Milidonis
Keyword(s):  
Cross Section ◽  
Risk Sharing ◽  
Asia Pacific ◽  
Longevity Risk ◽  
The Cross

scholarly journals Navigating Uncertainties in Accumulation and Decumulation of Retirement Portfolios

2017 ◽  
Vol 3 (3) ◽  
pp. 470
Author(s):  
Sterling Raskie
Keyword(s):  
Retirement Planning ◽  
Longevity Risk ◽  
Retirement Savings ◽  
Retirement Plan ◽  
Significant Obstacle ◽  
The Individual

<p><em>Individuals face many challenges when developing a retirement plan. Hurdles arise at different stages of the retirement planning lifecycle. In the pre-retirement period, a significant obstacle arises when individuals must save for retirement to maximize their utility in retirement. The question of how much to save along with where to save impacts the amount the individual has in retirement. Post-retirement individuals must overcome the obstacle of how to optimally withdraw from their retirement savings to mitigate sequence risk and longevity risk to reduce the chance of portfolio failure. Individuals in post-retirement must develop strategies that not only mitigate these risks but also allow them to enjoy the retirement they have envisioned.</em></p>

Culture and Risk Sharing Networks

2013 ◽  
Author(s):  
Joanne Laban
Keyword(s):  
Risk Sharing
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