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De-risking strategy: longevity spread buy-in. (English) Zbl 1401.91125

Summary: The paper proposes a demographic de-risking strategy for a pension provider, to deal with the future uncertainty in longevity over a long time horizon. The innovative idea of a longevity spread buy-in is presented. The formulae for calculating the buy-in premium are proposed in the case of pension plans. The proposal directly impacts the pension provider’s risk management systems and hence can be an important part of the overall approach to risk management. The numerical results, developed under specified stochastic hypotheses for the dynamics of the underlying financial and demographic processes, show how the proposal of the paper can be practically implemented.

MSC:

91B30 Risk theory, insurance (MSC2010)
91D20 Mathematical geography and demography
62P05 Applications of statistics to actuarial sciences and financial mathematics
91G60 Numerical methods (including Monte Carlo methods)
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