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| HAL : hal-00417800, version 2 |
| Fiche détaillée |  Récupérer au format |
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| Scandinavian Actuarial Journal (2010) xxx-xx |
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| Versions disponibles : | v1 (17-09-2009) | v2 (16-07-2010) |
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| Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges |
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Pauline Barrieu 1Harry Bensusan 2 |
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| (2010) |
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| This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood; providing a global view of the practical issues for longevity-linked insurance and pension products that have evolved concurrently with the steady increase in life expectancy since 1960s. In addition, the article frames the recent and forthcoming developments that are expected to action industry-wide changes as more effective regulation, designed to better assess and efficiently manage inherited risks, is adopted. Simultaneously, the evolution of longevity is intensifying the need for capital markets to be used to manage and transfer the risk through what are known as Insurance-Linked Securities (ILS). Thus, the article will examine the emerging scenarios, and will finally highlight some important potential developments for longevity risk management from a financial perspective with reference to the most relevant modelling and pricing practices in the banking industry. |
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| 1 : | Department of Statistics |
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London School of Economics |
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| 2 : | Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP) |
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Polytechnique - X – CNRS : UMR7641 |
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| 3 : | Laboratoire de Sciences Actuarielle et Financière (SAF) |
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Université Claude Bernard - Lyon I : EA2429 |
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| 4 : | Swiss Financial Institute |
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École Polytechnique Fédérale de Lausanne |
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| 5 : | CERDALM |
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SCOR Global Life |
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| Domaine | : | Sciences de l'Homme et Société/Economies et finances |
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| Longevity Risk – securitization – risk transfer – incomplete market – life insurance – stochastic mortality – pensions – long term interest rate – regulation – population dynamics |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00417800, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00417800 | |
| oai:hal.archives-ouvertes.fr:hal-00417800 | |
| Contributeur : Stéphane Loisel | |
| Soumis le : Vendredi 16 Juillet 2010, 15:58:25 | |
| Dernière modification le : Vendredi 16 Juillet 2010, 18:26:36 | |
