Measurement of Longevity Risk of Life Annuity Based on C-ROSS Framework

الملخص EN

This paper constructs a model to measure longevity risk and explains the reasons for restricting the supply of annuity products in life insurance companies.

According to the Lee–Carter Model and the VaR-based stochastic simulation, it can be found that the risk margin of the first type of longevity risk for ignoring the improvement of mortality rate is about 7%, and the risk margin of the second type of longevity risk for underestimating mortality improvement is about 7%.

Therefore, the insurer needs to use cohort life table pricing premium and gradually prepares longevity risk capital during the insurance period.