relation: http://eprints.imtlucca.it/1804/
title: Demographic risk transfer: is it worth for annuity providers?  ICER Working Paper
creator: Luciano, Elisa
creator: Regis, Luca
subject: HB Economic Theory
description: Longevity risk transfer is a popular choice for annuity providers such as pension funds. This paper formalizes the trade-off between the cost and the risk relief of such choice, when the annuity provider uses value-at-risk to assess risk. Using first-order approximations we show that, if the transfer is fairly priced and the aim of the fund is to maximize returns, the funds' alternatives can be represented in the plane expected return-VaR. We build a risk-return frontier, along which the optimal transfer choices of the fund are located and calibrated it to the 2010 UK annuity and bond market.
date: 2012
type: Working Paper
type: NonPeerReviewed
format: application/pdf
language: en
identifier: http://eprints.imtlucca.it/1804/1/ICER%20WP_%202012_Regis.pdf
identifier:   Luciano, Elisa and Regis, Luca  Demographic risk transfer: is it worth for annuity providers? ICER Working Paper.  Working Paper  #24/2012          
relation: http://www.icer.it/docs/wp2012/ICERwp11-12.pdf