Lifetime asset allocation with idiosyncratic and systematic mortality risks

This paper considers a lifetime asset allocation problem with both idiosyncratic and systematic mortality risks. The novelty of the paper is to integrate stochastic mortality, stochastic interest rate and stochastic income into a unified framework. An investor, who is a wage earner receiving a stochastic income, can invest in a financial market, consume part of his wealth and purchase life insurance or annuity so as to maximize the expected utility from consumption, terminal wealth and bequest. The problem is solved via the dynamic programming principle and the Hamilton–Jacobi–Bellman equation. Analytical solutions to the problem are derived, and numerical examples are provided to illustrate our results. It is shown that idiosyncratic mortality risk has significant impacts on the investor’s investment, consumption, life insurance/annuity purchase and bequest decisions regardless of the length of the decision-making horizon. The systematic mortality risk is largely alleviated by trading the longevity bond. However, its impacts on consumption, purchase of life insurance/annuity and bequest as well as the value function are still pronounced, when the decision-making horizon is sufficiently long.     

Multivariate lifetime distributions for the exponential dispersion family

We consider a general form of a multivariate lifetime model in which dependence is induced via a common shock component. The univariate marginal distributions come from the well-known and widely applied exponential dispersion family that includes the normal, compound-Poisson, gamma and negative binomial distributions. Any combination of truncation or censoring, either left or right, is considered, for which all moments are derived. This allows for the model to be calibrated to any affine transformation of lifetime data.     

Expected widowhood duration varies with socio-economic status

This article examines the expected duration of widowhood and its variation by socio-economic status (SES). The relationship between widowhood duration (WD) and SES and how they relate to annuitization and longevity risk is relevant in the light of ongoing changes in many pension systems. Using data from Ireland, WD is estimated for older married individuals, as a function of spousal age gap and spousal longevity gap. Both of the gaps are negatively correlated with SES. Thus, WD is negatively correlated with SES. Wives in the bottom of the SES distribution have the highest degree of annuitization, protecting them against longevity risk brought about by a higher WD. The movement towards less automatic annuitization may impact future widows differently, depending on their SES.     

A partial internal model for longevity risk

This paper proposes a simple partial internal model for longevity risk within the Solvency 2 framework. The model is closely linked to the mechanisms associated with the so-called Danish longevity benchmark, where the underlying mortality intensity and the trend is estimated yearly based on mortality experience from the Danish life and pension insurance sector, and on current data from the entire Danish population. Within this model, we derive an estimate for the 99.5% percentile for longevity risk, which differs from the longevity stress of 20% from the standard model. The new stress explicitly reflects the risk associated with unexpected changes in the underlying population mortality intensity on a one-year horizon and with a 99.5% confidence level. In addition, the model contains a component, which quantifies the unsystematic longevity risk associated with a given insurance portfolio. This last component depends on the size of the specific portfolio.     

Vintage Human Capital, Demographic Trends, and Endogenous Growth

We study how economic growth is affected by demographics in an OLG model with a realistic survival law. Individuals optimally chose the dates at which they leave school to work and at which they retire. Endogenous growth arises thanks to the accumulation of generation-specific human capital. Favorable shifts in the survival probabilities induce longer schooling and later retirement but have an ambiguous effect on per-capita growth. The long-term relationship between fertility and per-capita growth is hump-shaped. Increases in longevity can be responsible for a switch from a no-growth regime to a sustained growth regime and for a positive relationship between fertility and growth to vanish. Solving numerically the equilibrium, demographic changes can have important medium-term effects even if long-term changes are very small. Journal of Economic Literature Classification Numbers: 041, I20, J10.     

Capture,governance, and resilience: strategy implications from the history of Rome

Organizational resilience is a subject of great interest to management and strategy scholars. Drawing on over 1,000 years of historical data on the Republic of Rome, and focusing primarily on the period of its establishment (509 BC–338 BC), we identify two generic strategies, capture and governance, that together are essential for organizational resilience. Capture strategy relates to market expansions, while governance strategy refers to the capacity of an organization to assimilate, retain, defend, and increase its dominance within annexed markets. The history of Rome also reveals four supporting tactics—saving power, maintaining a stronghold base, isolating and weakening adversaries, and creating forward outposts—that shore up and reinforce the capture and governance strategies, to create a more enduring and resilient enterprise. Interestingly, a system‐wide view of the strategy‐tactic framework also offers insights on resilience through smallness, thus illustrating its conceptual utility to organizations of all sizes including small enterprises. Copyright © 2010 John Wiley & Sons, Ltd.     

农村房屋质量安全的现状与思考

农村建筑由于具有规模庞大、分散、单体投资小、投资主体资金缺乏、几乎没有技术支持等特点,存在着极大的安全隐患,危及八亿人民的幸福与安危,但在现实中所有资源和目光都积聚到城市中,导致关注程度不够。对当前农村建筑中存在的问题进行分析,从建设和谐、节约型新农村的角度探讨,提出了农村建筑市场管理的具体措施。     

Mortality regimes and longevity risk in a life annuity portfolio

This paper explores the presence of changes of trends or jumps in French mortality from 1947 to 2007, and assesses their implications on the longevity risk management of a life annuity portfolio. We accomplish this by extending the Poisson log-bilinear regression developed by Brouhns et al. (2002) with a regime-switching model. Estimation results show that French mortality is characterized by two distinct regimes. One refers to a strong uncertainty state, which corresponds to the longevity conditions observed during the decade following World War II. The second regime is related to the low volatility of longevity improvements observed during the last 30 years. We use these results to analyze the impact of mortality regimes on the longevity risk management of a life annuity portfolio. Simulation results suggest that the changes of trends in the mortality process have some implications for longevity risk management.     

Health Information and Subjective Survival Probability: Evidence from Taiwan

The effect of new health information on individuals' expectations about their longevity is examined using a Bayesian learning model. Using two‐period panel‐structured survey data from Taiwan, we find that subjective probabilities of living to age 75 and 85 are significantly smaller for respondents with more abnormal medical test outcomes and for those receiving more extensive advice on health behavior from their physicians. The subjective probability of survival declines with health shocks such as developing heart disease. Using pooled cross‐sectional data, we find that males and married persons are more optimistic about their longevity expectations than females and single persons, and that income is strongly correlated with the subjective probability of living to age 75. Consistent with previous studies, the longevity of the same‐sex parent is strongly associated with an individual's own expectation of living to age 75.     

我国长期护理保险发展的模式探索

随着我国人口老龄化进程的加快、家庭结构的变化及医疗费用的不断上升,老年人的长期健康护理逐渐成为了一个重大的社会问题,如何建立适合我国国情的长期护理保险制度模式已迫在眉睫。我国长期护理保险的发展不能照搬别国模式,必须从我国国情出发。从长远来看,我国长期护理保险的发展模式应从商业保险为主、社会保险为辅的近期模式逐渐过渡到以社会保险为主、商业保险为辅的远期模式。