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Abstract

Most of the western world has seen a steady increase in the average lifetime of its inhabitants over the past century. Although the past trends suggest that further changes in mortality rates are to be expected, considerable uncertainty exists regarding the future development of mortality. This type of uncertainty is referred to as longevity risk. This paper reviews the current state of the literature concerning longevity risk. First, we discuss the modeling of future mortality, including the Lee and Carter (J Am Stat Assoc 87:659–671, 1992)-approach, as well as other approaches. Second we discuss the importance of longevity risk for the solvency of portfolios of pension and life insurance products. Finally, we investigate possibilities for longevity risk management. In particular, we consider longevity risk management through securitization and/or pension and insurance (re)design.
Original languageEnglish
Pages (from-to)151-192
JournalDe Economist
Volume158
Issue number2
Publication statusPublished - 2010

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Longevity risk
Uncertainty
Mortality
Risk management
Pensions
Mortality rate
Life insurance
Redesign
Insurance
Securitization
Solvency
Modeling

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De Waegenaere, A. M. B., Melenberg, B., & Stevens, R. (2010). Longevity risk. De Economist, 158(2), 151-192.
De Waegenaere, A.M.B. ; Melenberg, B. ; Stevens, R. / Longevity risk. In: De Economist. 2010 ; Vol. 158, No. 2. pp. 151-192.
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abstract = "Most of the western world has seen a steady increase in the average lifetime of its inhabitants over the past century. Although the past trends suggest that further changes in mortality rates are to be expected, considerable uncertainty exists regarding the future development of mortality. This type of uncertainty is referred to as longevity risk. This paper reviews the current state of the literature concerning longevity risk. First, we discuss the modeling of future mortality, including the Lee and Carter (J Am Stat Assoc 87:659–671, 1992)-approach, as well as other approaches. Second we discuss the importance of longevity risk for the solvency of portfolios of pension and life insurance products. Finally, we investigate possibilities for longevity risk management. In particular, we consider longevity risk management through securitization and/or pension and insurance (re)design.",
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De Waegenaere, AMB, Melenberg, B & Stevens, R 2010, 'Longevity risk', De Economist, vol. 158, no. 2, pp. 151-192.

Longevity risk. / De Waegenaere, A.M.B.; Melenberg, B.; Stevens, R.

In: De Economist, Vol. 158, No. 2, 2010, p. 151-192.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Longevity risk

AU - De Waegenaere, A.M.B.

AU - Melenberg, B.

AU - Stevens, R.

PY - 2010

Y1 - 2010

N2 - Most of the western world has seen a steady increase in the average lifetime of its inhabitants over the past century. Although the past trends suggest that further changes in mortality rates are to be expected, considerable uncertainty exists regarding the future development of mortality. This type of uncertainty is referred to as longevity risk. This paper reviews the current state of the literature concerning longevity risk. First, we discuss the modeling of future mortality, including the Lee and Carter (J Am Stat Assoc 87:659–671, 1992)-approach, as well as other approaches. Second we discuss the importance of longevity risk for the solvency of portfolios of pension and life insurance products. Finally, we investigate possibilities for longevity risk management. In particular, we consider longevity risk management through securitization and/or pension and insurance (re)design.

AB - Most of the western world has seen a steady increase in the average lifetime of its inhabitants over the past century. Although the past trends suggest that further changes in mortality rates are to be expected, considerable uncertainty exists regarding the future development of mortality. This type of uncertainty is referred to as longevity risk. This paper reviews the current state of the literature concerning longevity risk. First, we discuss the modeling of future mortality, including the Lee and Carter (J Am Stat Assoc 87:659–671, 1992)-approach, as well as other approaches. Second we discuss the importance of longevity risk for the solvency of portfolios of pension and life insurance products. Finally, we investigate possibilities for longevity risk management. In particular, we consider longevity risk management through securitization and/or pension and insurance (re)design.

M3 - Article

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JO - De Economist: Tijdschrift voor alle standen, tot bevordering van volkswelvaart, door verspreiding van eenvoudige beginselen van staatshuishoudkunde

JF - De Economist: Tijdschrift voor alle standen, tot bevordering van volkswelvaart, door verspreiding van eenvoudige beginselen van staatshuishoudkunde

SN - 0013-063X

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