Measurement of Longevity Risk of Life Annuity Based on C-ROSS Framework
Joint Authors
Zhao, Ming
Li, Ziwen
Cai, Yinge
Li, Weiting
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-09-18
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract 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.
American Psychological Association (APA)
Zhao, Ming& Li, Ziwen& Cai, Yinge& Li, Weiting. 2020. Measurement of Longevity Risk of Life Annuity Based on C-ROSS Framework. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-8.
https://search.emarefa.net/detail/BIM-1193467
Modern Language Association (MLA)
Zhao, Ming…[et al.]. Measurement of Longevity Risk of Life Annuity Based on C-ROSS Framework. Mathematical Problems in Engineering No. 2020 (2020), pp.1-8.
https://search.emarefa.net/detail/BIM-1193467
American Medical Association (AMA)
Zhao, Ming& Li, Ziwen& Cai, Yinge& Li, Weiting. Measurement of Longevity Risk of Life Annuity Based on C-ROSS Framework. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-8.
https://search.emarefa.net/detail/BIM-1193467
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1193467
