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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 dened-benet pension scheme mortality risk idiosyncratic risk systematic risk Euler capital allocation principle stochastic mortality coecient of variation
2011/7/19
A risk of small dened-benet pension schemes is that there are too few members to eliminate idiosyncratic mortality risk, that is there are too few members to eectively 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...