Κίνδυνος μακροζωίας και τις επιπτώσεις που έχει στις ασφαλίσεις ζωής και στα συνταξιοδοτικά ταμεία
Longevity risk and the impact to life insurance and the pension plan
Χρηστίδη, Έρτα Δ.
KeywordsΚίνδυνος μακροζωίας ; Κίνδυνος μακροβιότητας ; Αντιστάθμιση ; Ομολογία μακροβιότητας ; Θνησιμότητα
Τhe development of the pharmaceutical industry and the medical technology, in combination with the improvement of living conditions, resulted to a steady increase in life expectancy in Europe and North America from 1960 until today. Thus, the underestimation of longevity and the uncertainty about future mortality rates were the main reasons that made longevity risk one of the most significant risks for insurance companies, pension funds and other companies that are directly linked with the future mortality trends. Since the 90s, it had already begun the development of the mortality - linked products in order to hedge the longevity risk. This master thesis aims to study the means of longevity risk securitization and analyze the mortality - linked products that led to the development of the insurance market. It is also described, how the insurers (or reinsurers) can use the securitization means to hedge the longevity risk and under this framework, we price a longevity bond, connected with the longevity risk. Then, after calculating the cash flows between the counterparties (i.e. insurance companies, the Special Purpose Company (SPC) and the investors), we compare the pricing results for the countries of Greece, Spain and Italy. The pricing has been done using the Wang transformation (Wang, 2000) and the mortality projection is based on the Lee-Carter method (Lee & Carter, 1992).