特殊费率人寿年金的随机评估

IF 1.4 Q3 SOCIAL SCIENCES, MATHEMATICAL METHODS Decisions in Economics and Finance Pub Date : 2024-09-04 DOI:10.1007/s10203-024-00476-8
Annamaria Olivieri, Daniela Tabakova
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引用次数: 0

摘要

特别费率人寿年金根据个人的生活方式或健康状况提供定制的年金费率。其主要目的是鼓励年金需求,而这一需求在许多市场上仍未得到充分开发;随着为死亡率较高的个人提供更好的年金费率,受人寿年金吸引的人数可能会增加。因此,提供者应获得更大的资金池规模;然而,与之相匹配的可能是资金池的更大异质性,因为年金设计定义了多个风险等级。异质性不仅体现在不同的预期寿命上,还体现在寿命分布的分散性上;事实上,导致预期寿命较低的情况也显示出寿命的更大变异性。众所周知,集合效应会因集合规模而加强,也会因集合的异质性而减弱,这对提供者所面临的总体长寿风险可能会产生不明确的影响。在本文中,我们研究了由多个风险类别组成的年金池的长寿风险状况。通过模拟随机死亡人数和假设随机死亡率动态,我们考虑了风险的特异性和总体成分。风险等级的异质性在确定性和随机性环境中交替体现。我们的结论与文献中讨论的类似结论一致,但都是在确定性框架下获得的。结果表明,提供者的长寿风险状况并不会因更大的集合异质性而受到显著削弱,无论集合的构成如何,集合成分都会普遍存在。
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Stochastic assessment of special-rate life annuities

Special-rate life annuities offer customized annuity rates, based on the lifestyle or health status of the individual. Their main purpose is to encourage the annuity demand, which is still underdeveloped in many markets; as better annuity rates are quoted for individuals showing a higher mortality profile, the number of individuals attracted by life annuities could increase. Providers should then gain larger pool sizes; however, this is possibly matched by a greater heterogeneity of the pool, due to several risk classes defined by the annuity design. Heterogeneity emerges not only in terms of different life expectancies, but also in respect of the dispersion of the lifetime distribution; indeed, situations resulting in a lower life expectancy also show greater variability of the lifetime. As it is well-known, pooling effects are reinforced by the pool size, while they are weakened by its heterogeneity, with a possibly unclear impact on the overall longevity risk to which the provider is exposed. In this paper we investigate the longevity risk profile of an annuity pool consisting of several risk classes. We consider both the idiosyncratic and aggregate components of the risk, by modelling the random number of deaths and assuming a stochastic mortality dynamics. The heterogeneity of risk classes is represented alternatively in a deterministic and stochastic setting. Our conclusions are in line with similar findings discussed in the literature, but obtained in a deterministic framework. Results suggest that the longevity risk profile of the provider is not significantly undermined by a greater pool heterogeneity, with a prevalence of the aggregate component whatever the pool composition.

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来源期刊
Decisions in Economics and Finance
Decisions in Economics and Finance SOCIAL SCIENCES, MATHEMATICAL METHODS-
CiteScore
2.50
自引率
9.10%
发文量
10
期刊介绍: Decisions in Economics and Finance: A Journal of Applied Mathematics is the official publication of the Association for Mathematics Applied to Social and Economic Sciences (AMASES). It provides a specialised forum for the publication of research in all areas of mathematics as applied to economics, finance, insurance, management and social sciences. Primary emphasis is placed on original research concerning topics in mathematics or computational techniques which are explicitly motivated by or contribute to the analysis of economic or financial problems.
期刊最新文献
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