Longevity Risk in Life Insurance Products


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Title Longevity Risk in Life Insurance Products
Period 09 / 2007 - 01 / 2011
Status Completed
Dissertation Yes
Research number OND1335296


Most of the western world has seen a steady increase in the average lifetime of its inhabitants over the past century. The potential effects of trends in mortality on pension costs present significant challenges for governments as well as individual pension funds and life insurers. Identifying appropriate interventions is challenging. The major challenge, however, is not in the trend itself, but in the fact that the future development of life expectancy is uncertain. Indeed, although the past trends suggest that further changes in mortality rates are to be expected, there is considerable uncertainty regard- ing the future development of mortality, which is referred to as systematic longevity risk. Decisions regarding redesign of pension and insurance sys- tems should therefore appropriately account for the effects of this particular uncertainty on the costs of pensions. This Ph.D. thesis deals with various topics within the field of systematic longevity risk. The past decade, the observed increase in life expectancy has been larger than expected. This systematic longevity risk affects the value of life insurance products. The thesis deals with the quantification of systematic longevity risk for the value of life insurance products, various ways to reduce systematic longevity risk in portfolios of life insurance products, and the effect of systematic longevity risk on optimal investment decisions of individuals.

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Supervisor Prof.dr. A.M.B. DeWaegenaere
Supervisor Prof.dr. B. Melenberg
Doctoral/PhD student Dr. R.S.P. Stevens

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