Skip to main content

Main menu

  • Latest
  • Content
    • Archive
  • About
    • About the Guides
    • About IIJ
  • Information for
    • Advertisers and Sponsors
    • Institutions
  • Events
  • Institutional Investor Journals: Home
    • The Journal of Alternative Investments
    • The Journal of Derivatives
    • The Journal of Fixed Income
    • The Journal of Index Investing
    • The Journal of Investing
    • The Journal of Portfolio Management
    • The Journal of Private Equity
    • The Journal of Retirement
    • The Journal of Structured Finance
    • The Journal of Trading
    • The Journal of Wealth Management
    • Practical Applications
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Like IIJ on Facebook

User menu

  • Register
  • Subscribe
  • My alerts
  • Log in

Search

  • Advanced search
IIJ Guides
  • Institutional Investor Journals: Home
    • The Journal of Alternative Investments
    • The Journal of Derivatives
    • The Journal of Fixed Income
    • The Journal of Index Investing
    • The Journal of Investing
    • The Journal of Portfolio Management
    • The Journal of Private Equity
    • The Journal of Retirement
    • The Journal of Structured Finance
    • The Journal of Trading
    • The Journal of Wealth Management
    • Practical Applications
  • Register
  • Subscribe
  • My alerts
  • Log in
IIJ Guides

IIJ Guides

Advanced Search

  • Latest
  • Content
    • Archive
  • About
    • About the Guides
    • About IIJ
  • Information for
    • Advertisers and Sponsors
    • Institutions
  • Events
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Like IIJ on Facebook
Article

Mortality Plateaus and the Pricing of Longevity Insurance

Moshe A. Milevsky
Special Issues Fall 2014, 2014 (1) 61-69
Moshe A. Milevsky
is a professor at York University and a managing director of the Pi Longevity Extension Corporation in Toronto, ON, Canada. milevsky@yorku.ca
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

This article requires a subscription to view the full text. If you have a subscription you may use the login form below to view the article. Access to this article can also be purchased.

Abstract

The article examines the implications—concerning the pricing of longevity insurance and life annuities—of a “plateauing” in the instantaneous force of mortality (IFM) at advanced ages. Given the increasing popularity of Advanced Life Delayed Annuities (ALDAs, a.k.a. deferred income annuities) and today’s low interest-rate environment, the present-value cost of misestimating the dynamics of late-life mortality can be substantial. The article also offers comments about the possibility of using ALDA prices to imply market expectations of mortality dynamics and plateaus in a manner similar to implied volatility in the options market. This has obvious implications for annuity buy-outs, buy-ins, and other forms of longevity risk transfer, as well the most pressing retirement problem for individuals—how to make their money last for the remainder of their lives.

  • © 2014 Pageant Media Ltd
View Full Text

Log in using your username and password

Forgot your user name or password?

Purchase access

You may purchase access to this article. This will require you to create an account if you don't already have one.
PreviousNext
Back to top

In this issue

Special Issues: 2014 (1)
Special Issues
Vol. 2014, Issue 1
Fall 2014
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on IIJ Guides.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Mortality Plateaus and the Pricing of Longevity Insurance
(Your Name) has sent you a message from IIJ Guides
(Your Name) thought you would like to see the IIJ Guides web site.
Citation Tools
Mortality Plateaus and the Pricing of Longevity Insurance
Moshe A. Milevsky
Special Issues Sep 2014, 2014 (1) 61-69;

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Mortality Plateaus and the Pricing of Longevity Insurance
Moshe A. Milevsky
Special Issues Sep 2014, 2014 (1) 61-69;
Permalink:
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • VALUATION OF ANNUITIES
    • NUMERICAL RESULTS: DO PLATEAUS MAKE A DIFFERENCE?
    • OK, SO CAN WE DETECT IN MARKET PRICES?
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • Market Liquidity: Don’t Know What You’ve Got ‘Til
    It’s Gone
  • Application of Order Awareness Technology in
    Algorithms for the Buy Side
  • Liquidity, Duration, and the “Financial” Transmission Mechanism
Show more Article

Similar Articles

II Journals
1120 Avenue of the Americas
New York, NY 10036

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Like IIJ on Facebook

ABOUT US

  • Home
  • About IIJ
  • Nobel Laureates
  • Events
  • Awards
  • Careers

OUR OFFERINGS

  • Permissions and Reprints
  • Digital Journal Archives

GET INVOLVED

  • Advertise or sponsor
  • Publish your work
  • Subscribe
  • Agents

CUSTOMER SERVICE

  • Contact Us
  • FAQ's
  • Feedback
  • Publishing Schedule 2017/2018
  • Code of Ethics
  • Subscribe Now
  • Log In

© 2018 Pageant Media Ltd | All Rights Reserved

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies