Stochastic assessment of special-rate life annuities
September 2024
Annamaria Olivieri, Daniela Tabakova
The aim of this paper is to extend the investigation Special-rate annuities (Pitacco and Tabakova), by addressing a stochastic mortality dynamics and stochastic levels of heterogeneity in the risk classes. In their conclusions, Pitacco and Tabakova actually mentioned stochastic mortality as an interesting extension of their work.This paper investigates the longevity risk profile of an annuity pool consisting of several risk classes.
It considers both the idiosyncratic and aggregate components of the risk, by modelling the random number of deaths and assuming a stochastic mortality dynamics.
The conclusions are in line with similar findings discussed in the literature, but obtained in a deterministic framework.
Results suggest that the longevity risk profile of the provider is not significantly undermined by a greater pool heterogeneity, with a prevalence of the aggregate component whatever the pool composition.
The paper is published in the journal Decisions in Economics and Finance.
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Annamaria Olivieri - Director of the Centre & Core Faculty
Annamaria Olivieri is Professor of Mathematical Methods for Economics, Actuarial Science and Finance, Department of Economics, University of Parma (Italy). At MIB Trieste School of Management Annamaria is the Director of the Centre for Insurance Research, she holds the "Financial Mathematics" and "Life Insurance Technique: applications" courses in the Master in Insurance & Risk Management, and coordinates two more courses for the Executive Master in Insurance & Finance ("Risk Transfer" and "Non Life Insurance").
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Daniela Tabakova - Core Faculty
Post doctoral researcher on demographic trends, Tabakova holds a PhD in "Managerial and actuarial sciences", University of Udine (Associated venue: University of Trieste, Italy) with co-supervisor prof. E. Pitacco.
She is a Fully Qualified Actuary certified by Bulgarian Acturial Society (Actuarial Qualification Programme in accordance with the requirements of the EAA Educational Syllabus and IAA Educational Syllabus), with 9 years work experience as an actuary in the life insurance sector.
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