Longevity Risk (2nd Edition)
First published:
ISBN: 9781782723882
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Ageing Populations and Changing Demographics
Nathalie Weiss, Mohamed Baccouche and Marine Habart
Foreword
Introduction
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 Indices
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
The advancements in longevity in developed countries over the last few decades have been impressive, though these improvements have not affected all countries uniformly. Experts do not agree on what the future holds in terms of longevity. Some demographers estimate that the trend will continue at the current pace or perhaps more steadily than it has, while others argue that life expectancy will increase at a slower rate, stabilise or even decline in some developed countries due to socio-environmental factors. The drivers of longevity remain complex, and the exact consequences of emerging threats such as obesity, electromagnetic waves, genetic engineering, pollution, etc, on life expectancy are heavily debated. Still, living longer may well happen to a degree that will surprise many people.
We begin by considering the overall trends in longevity in terms of life expectancies at birth and at older ages, and discussing whether there has been convergence between countries and between sexes. We then explore the consequences of the ageing population and the increase in the number of centenarians as well as the evolution of the old-age dependency ratio. However, while individuals may
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