Skip to main content Accessibility help

Longevity-contingent deferred life annuities*

  • M. DENUIT (a1), S. HABERMAN (a2) and A. E. RENSHAW (a2)


Considering the substantial systematic longevity risk threatening annuity providers’ solvency, indexing benefits on actual mortality improvements appears to be an efficient risk management tool, as discussed in Denuit et al. (2011) and Richter and Weber (2011). Whereas these papers consider indexing annuity payments, the present work suggests that the length of the deferment period could also be subject to revision, providing longevity-contingent deferred life annuities.



Hide All

The authors thank the two Referees and the Editor for their careful reading and for their constructive comments which allowed us to improve the presentation of our results. Michel Denuit gratefully acknowledges the financial support from the UNIL ‘Chaire Pensions et Longévité’ financed by Retraites Populaires, directed by Professor François Dufresne.



Hide All
Bravo, J., Real, P., and Silva, C. (2009) Participating life annuities incorporating longevity risk sharing arrangements. Working Paper available from
Denuit, M., Haberman, S., and Renshaw, A. (2010) Comonotonic approximations to quantiles of life annuity conditional expected present values: extensions to general ARIMA models and comparison with the bootstrap. ASTIN Bulletin, 40: 331349.
Denuit, M., Haberman, S., and Renshaw, A. (2011) Longevity-indexed life annuities. North American Actuarial Journal, 15: 97111.
Donnelly, C., Guillén, M., and Nielsen, J. P. (2014) Bringing cost transparency to the life annuity market. Insurance: Mathematics and Economics, 56: 1427.
Goldstein, J. R., and Wachterb, K. W. (2006) Relationships between period and cohort life expectancy: gaps and lags. Population Studies, 60: 257269.
Haberman, S., and Renshaw, A. (2012) Parametric mortality improvement rate modelling and projecting. Insurance: Mathematics and Economics, 50: 309333.
Haberman, S., and Renshaw, A. (2013) Modelling and projecting mortality improvement rates using a cohort perspective. Insurance: Mathematics and Economics, 53: 150168.
Huang, H., Milevsky, M. A., and Salisbury, T. S. (2013) Valuation and hedging of the ruin-contingent life annuity. Journal of Risk and Insurance, 81: 367395.
Lee, R. D., and Carter, L. (1992) Modelling and forecasting the time series of US mortality. Journal of the American Statistical Association, 87: 659671.
Milevsky, M. (2005) Real longevity insurance with a deductible: introduction to advanced-life delayed annuities. North American Actuarial Journal, 9: 109122.
Piggott, J., Valdez, E. A., and Detzel, B. (2005) The simple analytics of a pooled annuity fund. Journal of Risk and Insurance, 72: 497520.
Pitacco, E., Denuit, M., Haberman, S., and Olivieri, A. (2009) Modelling Longevity Dynamics for Pensions and Annuity Business. Oxford University Press, New York.
Richter, A., and Weber, F. (2011) Mortality-indexed annuities: managing longevity risk via product design. North American Actuarial Journal, 15: 212236.
Stevens, R. (2011) Sustainable full retirement age policies in an aging society: The impact of uncertain longevity increases on retirement age, remaining life expectancy at retirement, and pension liabilities. Presented to the Biennial Convention of the Institute of Actuaries of Australia, April 10–13, 2011, Sydney.



Altmetric attention score

Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Abstract views

Total abstract views: 0 *
Loading metrics...

* Views captured on Cambridge Core between <date>. This data will be updated every 24 hours.

Usage data cannot currently be displayed