Measurement of Longevity Risk of Life Annuity Based on C-ROSS Framework. (18th September 2020)

• Record Type: Journal Article
• Authors: Zhao, Ming; Li, Ziwen; Cai, Yinge; Li, Weiting
• Other Names: Yu Wenguang Guest Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2020(2020)
• Publication Date: 2020-09-18
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2020/1746413
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : This paper constructs a model to measure longevity risk and explains the reasons for restricting the supply of annuity products in life insurance companies. According to the Lee–Carter Model and the VaR-based stochastic simulation, it can be found that the risk margin of the first type of longevity risk for ignoring the improvement of mortality rate is about 7%, and the risk margin of the second type of longevity risk for underestimating mortality improvement is about 7%. Therefore, the insurer needs to use cohort life table pricing premium and gradually prepares longevity risk capital during the insurance period.