Ralph Stevens
| Date of PhD defense: | 11 February 2011 |
| Title of thesis: | Longevity Risk in Life Insurance Products |
| ISBN: | 978 90 5668 270 5 |
| Promotores: | Prof.dr. Anja de Waegenaere
Prof.dr. Bertrand Melenberg |
Abstract:
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.
Global / English