Comparison of Pricing Approaches for Longevity Markets

Abstract

Longevity risk has been an ongoing issue for many insurance companies and pension funds. Due to the fast advancements of medicine and quality of life changes, it has made previously forecasted longevity rates have been different to that of currently experienced. This adds strain to those companies that payout based on how long people are anticipated to live, one such example is pension funds. This uncertainty has led to the development of longevity derivatives that help hedge away the risk of longevity to a third party that is willing to take it.

Melvern Leung

Manager - Risk Model Validation

My research interests include distributed robotics, mobile computing and programmable matter.