The Study "Stochastic assessment of special-rate life annuities", published in September 2024 in Decisions in Economics and Finance, was conducted by the Center for Insurance Research "Ermanno Pitacco" of MIB Trieste School of Management.
Abstract
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.Authors
Annamaria Olivieri, PhD, Director of the Center for Insurance Research "Ermanno Pitacco" of MIB Trieste School of Management., Core Faculty Member at MIB Trieste and Professor of Mathematical methods for economy and actuarial and financial sciences at the University of Parma.
Daniela Tabakova, PhD, Actuary, Core Faculty Member at MIB Trieste in Insurance & Risk Management Area.
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Abstract
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.
Authors
Annamaria Olivieri, PhD, Director of the Center for Insurance Research "Ermanno Pitacco" of MIB Trieste School of Management., Core Faculty Member at MIB Trieste and Professor of Mathematical methods for economy and actuarial and financial sciences at the University of Parma.Daniela Tabakova, PhD, Actuary, Core Faculty Member at MIB Trieste in Insurance & Risk Management Area.
