Estudio de los mecanismos de mitigación del riesgo de longevidad en seguros y pensiones

Manuel Jesús López Bausan; Maria Mercedes Claramunt Bielsa

doi:10.26360/2023_4

Authors

Manuel Jesús López Bausan Universidad de Barcelona https://orcid.org/0000-0001-9992-9140
Maria Mercedes Claramunt Bielsa Universidad de Barcelona https://orcid.org/0000-0002-5184-9106

DOI:

https://doi.org/10.26360/2023_4

Keywords:

longevity risk, mortality risk, tâtonnement approach, MLS bond, CARA and CRRA equivalent utilities

Abstract

The phenomenon of longevity refers to the fact that the population lives longer, or lives longer than expected. In recent decades, the Spanish population and, in general, the world population, has increased its longevity. This evolution is reflected, for example, in life expectancy at birth and life expectancy at a certain age, such as retirement. The longevity risk is defined as the risk of losses in insurance and/or in complementary pensions, derived from a decrease in mortality rates. This longevity risk is very important in insurance that provides survivorship benefits, that is, when the insured lives to certain ages. The monetary repercussions of unforeseen (and therefore unpriced) longevity are significant. There are risk transfer mechanisms in financial markets that can be applied to longevity risk. Thus, various initial experiences of q-forward and swaps have appeared on the market in recent times, but there are difficulties in their generalization. The first goal is the study of the mechanisms for transferring the risk of longevity to the financial markets that have developed in recent years, their characteristics and their advantages and disadvantages. The second one is to develop valuation models of these instruments according to different hypotheses of future mortality and different mechanisms of price formation.

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