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Longevity-contingent deferred life annuities*

Published online by Cambridge University Press:  13 January 2015

M. DENUIT ,
S. HABERMAN  and
A. E. RENSHAW
M. DENUIT
Affiliation:
Institute of Statistics, Biostatistics and Actuarial Science, Université Catholique de Louvain, Louvain-la-Neuve, Belgium (e-mail: michel.denuit@uclouvain.be)
S. HABERMAN
Affiliation:
Cass Business School, City University London, UK
A. E. RENSHAW
Affiliation:
Cass Business School, City University London, UK
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Abstract

Considering the substantial systematic longevity risk threatening annuity providers’ solvency, indexing benefits on actual mortality improvements appears to be an efficient risk management tool, as discussed in Denuit et al. (2011) and Richter and Weber (2011). Whereas these papers consider indexing annuity payments, the present work suggests that the length of the deferment period could also be subject to revision, providing longevity-contingent deferred life annuities.

Keywords

G22J11Longevity riskmortality projectionLee–Carter model
Type
Articles
Information
Journal of Pension Economics & Finance , Volume 14 , Issue 3 , July 2015 , pp. 315 - 327
Copyright
Copyright © Cambridge University Press 2015 

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Footnotes

*

The authors thank the two Referees and the Editor for their careful reading and for their constructive comments which allowed us to improve the presentation of our results. Michel Denuit gratefully acknowledges the financial support from the UNIL ‘Chaire Pensions et Longévité’ financed by Retraites Populaires, directed by Professor François Dufresne.

References

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