Modeling and Managing Longevity Risk

Download or read book Modeling and Managing Longevity Risk written by Yanxin Liu and published by . This book was released on 2016 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the threat of longevity risk to the insurance industry becoming increasingly apparent in recent years, insurers and reinsurers are concerned about how to better model and manage longevity risk. However, modeling and managing longevity risk is not trivial, due in part to its systematic nature and in part to the excessive amount of risk factors that constitute the risk. The theme of this thesis is modeling and managing longevity risk. In particular, this thesis focuses on four types of uncertainties among all possible risk factors. These four risk factors include 1) mortality jump risk; 2) longevity drift risk; 3) population basis risk; and 4) cohort mismatch risk.