eprintid: 1804
rev_number: 8
eprint_status: archive
userid: 6
dir: disk0/00/00/18/04
datestamp: 2013-09-27 12:18:01
lastmod: 2013-09-27 12:18:01
status_changed: 2013-09-27 12:18:01
type: monograph
metadata_visibility: show
creators_name: Luciano, Elisa
creators_name: Regis, Luca
creators_id: 
creators_id: luca.regis@imtlucca.it
title: Demographic risk transfer: is it worth for annuity providers?  ICER Working Paper
ispublished: pub
subjects: HB
divisions: EIC
full_text_status: public
monograph_type: working_paper
abstract: 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
date_type: published
number: 24
institution: IMT Institute for Advanced Studies Lucca
official_url: http://www.icer.it/docs/wp2012/ICERwp11-12.pdf
citation:   Luciano, Elisa and Regis, Luca  Demographic risk transfer: is it worth for annuity providers? ICER Working Paper.  Working Paper  #24/2012          
document_url: http://eprints.imtlucca.it/1804/1/ICER%20WP_%202012_Regis.pdf