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Valuing Mortality Risk Reductions: Progress and Challenges
Progress and Challenges Risk Reductions
2015/9/18
Hammitt thanks the Institut National de Recherche Agronomique and the European Research Council
(FP7/2007-2013 grant agreement no. 230589) for financial support. The views expressed herein are
those...
Quantifying mortality risk in small defined-benefit pension schemes
Small de ned-bene t pension scheme mortality risk idiosyncratic risk systematic risk Euler capital allocation principle stochastic mortality coecient of variation
2011/7/19
A risk of small de ned-bene t pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to e ectively pool mortality risk. This mea...
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
Mortality Risk Sharpe Ratio Life Annuities
2010/12/13
We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this ri...
This paper investigates whether subjective expectations about future mortality affect consumption and bequests motives. We estimate a dynamic life-cycle model based on subjective survival rates and we...