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a2a4d62e-9dd1-4955-bbc2-3dec899a9ea7 |
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8684964a-bab1-4235-93a8-5fd5e24a1d0a |
| job_id |
utkmrdfv-0861 |
| base_model_name |
xevyo |
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/home/sid/tuning/finetune/backend/output/xevyo-bas /home/sid/tuning/finetune/backend/output/xevyo-base-v1/merged_fp16_hf... |
| model_name |
Longevity risk |
| model_desc |
Longevity risk |
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/home/sid/tuning/finetune/backend/output/utkmrdfv- /home/sid/tuning/finetune/backend/output/utkmrdfv-0861/merged_fp16_hf... |
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xevyo |
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| source_job_id |
xevyo-base-v1 |
| dataset_desc |
“Longevity Risk” by Anja De Waegenaere, Bertrand M “Longevity Risk” by Anja De Waegenaere, Bertrand Melenberg, and Ralph Stevens is a comprehensive academic review explaining the rising challenge of longevity risk — the uncertainty in future mortality improvements — and its consequences for pension systems, insurers, and financial risk management.
🔍 What the Paper Covers
1. Definition of Longevity Risk
Longevity risk is the uncertainty in future mortality rates.
Unlike individual mortality risk, longevity risk cannot be diversified away, even in very large pools.
It remains a systemic, permanent risk for pension funds and insurers.
2. Mortality Trends
Life expectancy has steadily increased across the Western world.
Example: Dutch male life expectancy at age 65 rose from 13.5 years (1975) to 17 years (2007).
Even small increases in life expectancy significantly raise pension liabilities.
3. Modeling Future Mortality
The paper reviews major stochastic mortality models, including:
Lee–Carter model (core focus): Uses age-specific parameters and a time-varying mortality index.
Extensions: Poisson models, cohort models, multi-population models, smoothing approaches.
Discusses:
Process risk: Random future mortality changes.
Model risk: Choosing the wrong model.
Parameter risk: Estimation uncertainty.
4. Quantifying Longevity Risk
Three approaches are discussed:
Present value of future annuity payments
Funding ratio volatility in pension funds
Probability of ruin for life insurers
The paper shows that:
Longevity risk increases liabilities.
Variability grows with time horizon.
Even large portfolios cannot escape longevity uncertainty.
5. Managing Longevity Risk
Explores strategies such as:
Solvency buffers
Product mix diversification
Longevity-linked securities (e.g., longevity bonds, swaps)
Development of a global life market for mortality-based instruments.
⭐ In One Sentence
This paper is the definitive overview of why longevity risk matters, how to model it, how big its financial impact is, and how institutions can manage it in the 21st century.... |
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1764880145 |
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