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Working Papers

2018Feb
Young family at home

Sarah Kaakai, Héloïse Labit Hardy, Séverine Arnold (-Gaille), Nicole El Karoui

Numerous studies have demonstrated the pervasive effect of socioeconomic status on mortality and cause-specific mortality. More recently, a growing number of studies have indicated a widening of socioeconomic inequalities. It has therefore become crucially important to understand and model the mortality of a heterogeneous population. Recent developments in multi-population mortality have improved the modeling and forecast of subpopulations mortality inside a national population. But this new class of models has raised a number of questions, among which the issue of consistency between subnational and national forecasts. Hence, modeling population dynamics provide complementary insights on subpopulations evolution as well as on aggregated quantities.
 

2018Feb
Aged care analysis

Yajing Xu, Michael Sherris and Jonathan Ziveyi

The pricing of longevity-linked securities depends not only on the stochastic uncertainty of the underlying risk factors, but also the attitude of investors towards those factors. In this research, we investigate how to estimate the market risk premium of longevity risk using investable retirement indexes, incorporating uncertain real interest rates using an affine dynamic Nelson-Siegel model. 

2018Jan
Pensioners enjoying a stroll

Shang Wu, Hazel Bateman, Ralph Stevens and Susan Thorp

We investigate whether a life care annuity - the integration of a life annuity with long-term care insurance (LTCI) - can enhance insurance participation to mitigate the economic puzzle of under- insurance in the longevity insurance and LTCI markets. Using an online choice experiment, we elicit individuals' preferences for consumption in different health conditions and their demand for a life care annuity and its health-contingent income feature. 

2018Jan
Data graphs

Michael Sherris, Yajing Xu and Jonathan Ziveyi

Multi-country risk management of longevity risk provides new opportunities to hedge mortality and interest rate risks in guaranteed lifetime income streams. This requires consideration of both interest rate and mortality risks in multiple countries. For this purpose, we develop value-based longevity indexes for multiple cohorts in two different countries that take into account the major sources of risks impacting life insurance portfolios, mortality and interest rates.

2017Dec
Cepar - Retirement Decisions

Susan Thorp, Hazel Bateman, Isabella Dobrescu, Ben R. Newell, and Andreas Ortmann

Simplified disclosures can make comparisons between complex financial products easier, and increase consumer expertise. We use incentivized experiments to investigate whether and to what extent simpler information on fees and investment returns assists retirement plan members to make competent choices.

 

2017Dec
Woman offering aged care support

Jennifer Alonso-García, Hazel Bateman, Johan Bonekamp, and Ralph Stevens

Implied endorsement is considered, together with inertia, as an explanation for the stickiness of defaults. This paper explores whether implied endorsement can serve as an explanation for the stickiness of defaults in the retirement decumulation phase.

2017Dec
Elderly couple researching pension options

Jennifer Alonso-García, Hazel Bateman, Johan Bonekamp, Arthur van Soest and Ralph Stevens

Using an online experimental survey, we investigate the importance of rational and psychological motives for saving in retirement for soon to be retired individuals.

2017Dec
Researchers examining data online

Robert Holzmann, Jennifer Alonso-García, Heloise Labit-Hardy, and Andrés M. Villegas

This paper explores five key mechanisms of compensation: individualized annuities; individualized contribution rates/account allocations; a two-tier contribution structure with socialized and individual rate structure; and two supplementary approaches under the two-tier approach to deal with the income distribution tails, and the distortions above a ceiling and below a floor.

2017Oct
Colleagues discussing ageing research

Ermanno Pitacco

These Lecture Notes aim at introducing technical and financial aspects of the life annuity products, with a special emphasis on the actuarial valuation of life annuity benefits.