Assessing Investment and Longevity Risks within Immediate Annuities
Assessing Investment and Longevity Risks within Immediate Annuities
复制标题
评估即时年金的投资和长寿风险
DOI：
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发表时间：
2008
期刊：
影响因子：
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通讯作者：
Frederik Weber
中科院分区：
文献类型：
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作者：
Daniel Bauer;Frederik Weber
终身年金为受益人的余生提供了一笔有保障的收入，因此，年金化是为退休期间选择适当投资策略的一个重要选择。虽然有许多科学文章从养老金领取者的角度研究年金，但到目前为止，很少有文章从提供者的角度考虑年金。特别是，在年金账簿中没有对一般风险进行调查。本文旨在填补这一空白：使用模拟框架，它提供了年金账簿中的风险的长期分析。更具体地说，研究了系统性死亡风险和投资风险对保险公司财务状况的相互影响和各自影响。关键的发现是，在模型规范下，使用英国的年金数据，相对于长寿风险的特征，收取的风险溢价似乎非常高。提供了可能的解释以及经济影响，并讨论了潜在的警告。
Life annuities provide a guaranteed income for the remainder of the recipients lifetime, and therefore, annuitization represents an important option when choosing an adequate investment strategy for the retirement period. While there are numerous scientific articles studying annuities from the pensioners point of view, thus far, there have been few contributions considering annuities from the providers perspective. In particular, there are no surveys on the general risks within annuity books.The present paper aims at filling this gap: Using a simulation framework, it provides a longterm analysis of the risks within annuity books. More specifically, the mutual as well as the respective impacts of systematic mortality risk and investment risk on the insurers financial situation are studied.The key finding is that under the model specifications and using annuity data from the United Kingdom, the risk premium charged for longevity risk seems to be very high relative to its characteristics. Possible explanations as well as economic implications are provided, and potential caveats are discussed.