Norbert Hari
| Date of Ph.D. defense: | 12 January 2007 |
| Title of thesis: | Modeling Mortality: Empirical Studies on the Effect of Mortality on Annuity Markets |
| ISBN: | 978 90 5668 187 7 |
| Promotores: | Prof.dr. B. Melenberg and Prof.dr. T. Nijman |
| Copromotor: | Dr. A. De Wagenaere |
Abstract:
The central theme of the dissertation is longevity risk. Institutions offering products depending on the lifetime of an individual face micro-longevity risk, simply because lifetime is uncertain. This type of risk reduces significantly when the portfolio size is increased. Mortality patterns may also change over time due to, for example, improvements in the standards of living or in the medical system, which might create a significant exposure to macro-longevity risk. However, this risk can clearly not be diversified by increasing the portfolio size.
Chapter 3 of the dissertation models the macro-longevity risk and introduces a stochastic model for human mortality rates. Chapter 4 analyzes the importance of mortality improvement and mortality risk (macro- and micro-longevity risk and parameter uncertainty) on solvency positions of pension funds of various sizes. Chapter 5 measures the present value of a single year participation in a collective pension scheme consisting of heterogeneous participants with respect to survival characteristics, and quantifies the incentives for individuals that participate in such systems.
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