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Modelação e gestão do risco de longevidade através de longevity bonds
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Orientador(es)
Resumo(s)
Os aumentos da longevidade humana registados a nível global nas últimas décadas,
constituem uma das maiores preocupações do sistema público de pensões, companhias
de seguros e patrocinadores de fundos de pensões. Para fazer face a esta problemática,
têm vindo a ser desenvolvidos diferentes produtos de cobertura do risco de longevidade
assentes em soluções de mercado de capitais em alternativa às tradicionais soluções de
seguro e resseguro. Esta dissertação teve como objetivo a estimação dos preços de dois
tipos de obrigações de longevidade, straight bonds e deferred longevity bonds com uma
estrutura contratual idêntica à proposta em 2004 pelo EIB. Esta simulação empírica,
baseia-se nos dados de mortalidade para a população dos EUA no intervalo de tempo
entre 1980 a 2016 e na utilização do modelo de Poisson-Lee-Carter Poisson para
modelar a dinâmica estocástica das taxas de motalidade. Para estimar o prémio de risco
de longevidade recorre-se a duas abordagens distintas: Wang Transform e Sharpe Ratio.
Este estudo permitiu realizar esta análise por género, diferentes idades e maturidades,
e níveis de risco. Desta forma, pretende-se dar um contributo para a resolução do
problema associado ao pricing dos derivados de longevidade e provar que estes devem
ser considerados pelas companhias de seguros e fundos de pensões na sua gestão do
risco de longevidade.
The increases in human longevity recorded globally in recent decades are a major concern of the public pension system, insurance companies and pension fund sponsors. To address this problem, different longevity risk hedging products based on capital market solutions have been developed as an alternative to traditional insurance and reinsurance solutions. This dissertation aimed to estimate the prices of two types of longevity bonds, straight bonds and deferred longevity bonds, with a contractual structure identical to the one proposed in 2004 by the EIB. This empirical simulation is based on mortality data for the US population in the time span between 1980 and 2016 and on the use of the Poisson-Lee-Carter Poisson model to model the stochastic dynamics of the mortality rates. To estimate the longevity risk premium, we used two distinct approaches: Wang Transform and Sharpe Ratio. This study allowed to perform this analysis by gender, different ages and maturities, and risk levels. Thus, it is intended to contribute to the solution of the problem associated with the pricing of longevity derivatives and to prove that they should be considered by insurance companies and pension funds in their longevity risk management.
The increases in human longevity recorded globally in recent decades are a major concern of the public pension system, insurance companies and pension fund sponsors. To address this problem, different longevity risk hedging products based on capital market solutions have been developed as an alternative to traditional insurance and reinsurance solutions. This dissertation aimed to estimate the prices of two types of longevity bonds, straight bonds and deferred longevity bonds, with a contractual structure identical to the one proposed in 2004 by the EIB. This empirical simulation is based on mortality data for the US population in the time span between 1980 and 2016 and on the use of the Poisson-Lee-Carter Poisson model to model the stochastic dynamics of the mortality rates. To estimate the longevity risk premium, we used two distinct approaches: Wang Transform and Sharpe Ratio. This study allowed to perform this analysis by gender, different ages and maturities, and risk levels. Thus, it is intended to contribute to the solution of the problem associated with the pricing of longevity derivatives and to prove that they should be considered by insurance companies and pension funds in their longevity risk management.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Longevidade Obrigação de longevidade Lee-Carter Poisson EUA Longevity Longevity bonds