Measurement of Longevity Risk of Life Annuity Based on C-ROSS Framework

摘要

This paper constructs a model to measure longevity risk and explains the reasons for restricting the supply of annuity products in life insurance companies. According to the Lee-Carter Model and the VaR-based stochastic simulation, it can be found that the risk margin of the first type of longevity risk for ignoring the improvement of mortality rate is about 7, and the risk margin of the second type of longevity risk for underestimating mortality improvement is about 7. Therefore, the insurer needs to use cohort life table pricing premium and gradually prepares longevity risk capital during the insurance period.