Ageing Populations and Changing Demographics
Determinants of Changes in Life Expectancy
Magnitude of the Longevity Issue
Pricing Longevity Risk: Establishing the Base Mortality Level
An Introduction to Credibility Theory
Projecting Future Mortality
Modelling Longevity Risk under a One-Year VaR Framework
Risk Transfer for Pension Schemes
De-Risking Insured Annuity Portfolios
Hedging Longevity Risk through Reinsurance
Commercial Aspects of Longevity Reinsurance
Extreme Mortality Risk as a Natural Hedge?
Capital Markets and Longevity Risk Transfer
Longevity Policy Committee
Legal Considerations and Challenges in Longevity Risk Transactions
Pensions and Longevity in the US
Canadian Pensioner Longevity Risk
The Dutch Pensions and Longevity Insurance Market
Living a long healthy life is a natural desire, and humankind actively seeks to maximise its fleeting duration on Earth. We are succeeding. Centenarians are rapidly rising in number and the elderly are one of the fastest growing parts of our global population. Whilst this is to be celebrated, it also raises challenges regarding how individuals manage their wealth and how society should provide a backstop for those who live beyond their retirement savings.
In recent history, society has supported individuals in financially preparing and planning for their retirement through a wide range of savings vehicles, pensions and insurance arrangements. These are not without risk though. For entities funding such arrangements (be that an employer, an insurance company or government), there is a risk that individuals covered will live longer than anticipated. This exposure is known as longevity risk: the topic of this book.
Managing longevity risk requires an understanding of a wide range of issues, from the measurement of longevity risk for pricing, reserving and setting aside capital, to the management of risk through de-risking, reinsurance and capital markets solutions. These