Macro longevity risk and the choice between annuity products: evidence from Denmark

DOI10.1016/j.insmatheco.2021.04.009zbMath1467.91130OpenAlexW3157155177MaRDI QIDQ2038260

Anne G. Balter, Jesper Rangvid, Malene Kallestrup-Lamb

Publication date: 6 July 2021

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.04.009

zbMATH Keywords

variable annuitiespension reformempirical decision makingdefined contributionsmacro longevity risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Empirical decision procedures; empirical Bayes procedures (62C12) Actuarial mathematics (91G05)

Cites Work

• Modeling and Forecasting U.S. Mortality
• The double-gap life expectancy forecasting model
• Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
• Existence of optimal consumption strategies in markets with longevity risk
• Optimal asset allocation in life annuities: a note.
• Exchanging uncertain mortality for a cost
• Individual post-retirement longevity risk management under systematic mortality risk
• THE EFFECT OF THE ASSUMED INTEREST RATE AND SMOOTHING ON VARIABLE ANNUITIES

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