Title :
Pricing annuity insurance integrating mortality improvement risk, interest rate risk, insolvency risk and insurance demand
Author :
Mao, H. ; Ostaszewski, K.M. ; Wang, Y.L.
Author_Institution :
Sch. of Econ. & Manage., Shanghai Second Polytech. Univ., Shanghai, China
Abstract :
In this paper, we discuss the pricing of annuity insurance. We emphasize how to consider the mortality risk in pricing model and at the same time, integrate interest rate risk, insolvency risk and insurance demand. The results of our analysis show that it is beneficial to both of consumers and insurers if considering the factor of mortality improvement in pricing of annuity insurance.
Keywords :
economic indicators; insurance; pricing; risk analysis; annuity insurance; insolvency risk; insurance demand; interest rate risk; mortality improvement risk; pricing model; Companies; Economic indicators; Insurance; Mathematical model; Pricing; Stochastic processes; Annuity pricing; mortality improvement; stochastic process;
Conference_Titel :
Industrial Engineering and Engineering Management (IEEM), 2011 IEEE International Conference on
Conference_Location :
Singapore
Print_ISBN :
978-1-4577-0740-7
Electronic_ISBN :
2157-3611
DOI :
10.1109/IEEM.2011.6118008
