Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk
Author | : Katja Hanewald |
Publisher | : |
Total Pages | : 0 |
Release | : 2011 |
ISBN-10 | : OCLC:1376948407 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk written by Katja Hanewald and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. GSA plans are found to replace even inflation-indexed annuity products when there are loadings on guaranteed life annuity products. With a bequest motive and loadings, coinsurance portfolio strategies with phased withdrawals and GSA's dominate portfolios with life annuities or deferred annuities.