• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>Emerging Markets Queries in Finance and Business Conference >Some mathematical models for longevity risk in the annuity market and pension funds
【24h】

Some mathematical models for longevity risk in the annuity market and pension funds

机译：关于年金市场和养老基金的寿命风险的一些数学模型

获取原文
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Lately, life insurance companies and pension funds confront with longevity risk, namely increased life expectancy. This risk (hazard) and the decrease in the number of employee taxpayers represent major difficulties on the annuity market and pension funds. Therefore, these institutions must provide efficient and suitable means in order to cross-hedge or to transfer part of the longevity risk to reinsurance companies or to financial markets. The markets for longevity derivatives progress, as the insurance industry must satisfy specific requirements related to longevity risk. This paper develops some models for mortality rates and pricing given the longevity risk. As regard forecasting mortality rates, we make some remarks based on various models for the Romanian population. In addition, this paper expands some models for the securitization of longevity bonds or loans. We provide a numerical illustration of the above models.
机译：最近，人寿保险公司和养老基金面对长寿风险，即增加预期寿命。这种风险（危险）和员工纳税人数量的减少代表年金市场和养老基金的主要困难。因此，这些机构必须提供有效和合适的手段，以跨对冲或转移部分持续长寿风险，以再保险公司或金融市场。随着保险业必须满足与寿命风险相关的具体要求，持续衍生品的市场进展。鉴于长寿风险，本文开发了一些用于死亡率和定价的模型。在预测死亡率之方面，我们根据罗马尼亚人口的各种模型进行了一些评论。此外，本文扩展了一些型号用于寿命债券或贷款的证券化。我们提供上述模型的数值例证。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号