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Individual Post-Retirement Longevity Risk Management Under Systematic Mortality Risk

Elderly couple researching pension options

Katja Hanewald, John Piggott and Michael Sherris

This paper analyzes an individual's post retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings.

A complete-markets discrete state model and multi-period simulations of portfolio strategies are used to assess individual longevity insurance product portfolios with differing levels of systematic and idiosyncratic longevity risk.

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