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Risks
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Life Insurance and Pensions: Latest Advances and Prospects
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Life Insurance and Pensions: Latest Advances and Prospects

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: 31 October 2024 | Viewed by 3210

Special Issue Editors

Prof. Dr. Pierre Devolder

E-Mail Website
Guest Editor
Institute of Statistics, Biostatistics and Actuarial Sciences, Université Catholique de Louvain, 1348 Louvain-la-Neuve, Belgium
Interests: life insurance valuation; pension theory; public pension schemes; quantitative finance; solvency 2
Prof. Dr. Massimiliano Menzietti

E-Mail Website
Guest Editor
Department of Economics, Statistics and Finance, University of Calabria, 87036 Rende, Italy
Interests: longevity risk; disability risk; NDC pension systems; long term care insurance; health insurance

Special Issue Information

Dear Colleagues,

Life insurance and pension schemes have been recently exposed to new challenges and risk factors in a general environment characterized, from a financial point of view, by persistent low interest rates, volatile stock markets, and inflation shocks, and from a demographic perspective, by longevity improvement and aging. In many markets, the design of life insurance products and occupational pension schemes has changed with the development of new hybrid products based on alternative risk-sharing philosophies. These product evolutions require new valuation tools. New issues appear in the accumulation phase as well as in the decumulation phase (annuitization, tontines). New models are requested for mortality risk and its links with finance. Financial sustainability of public pension systems is also a major concern for our societies, necessitating new actuarial and financial analysis that mixes social and financial constraints such as the automatic balance mechanisms. From a more methodological perspective, new statistical methods such as machine learning, neural networks, etc., traditionally more oriented to non-life insurance, are more and more relevant for life insurance problems. Last but not least, as massive investors, life insurance and pension funds will have to integrate environmental constraints (ESG) into their strategies.

Authors are invited to submit papers that address these various design and valuation challenges for life insurance products and pension schemes (occupational and public pension schemes).

Prof. Dr. Pierre Devolder
Prof. Dr. Massimiliano Menzietti
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • life insurance products
  • occupational pension schemes
  • public pension systems
  • valuation tools
  • mortality and demographic models
  • annuitization and tontines
  • inflation risk
  • machine learning applications
  • ESG for life insurers and pension funds

Published Papers (3 papers)

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Research

31 pages, 1109 KiB  
Article
Relationship between Occupational Pension, Corporate Social Responsibility (CSR), and Organizational Resilience: A Study on Listed Chinese Companies
by Hao Wang, Tao Zhang, Xi Wang and Jiansong Zheng
Risks 2024, 12(4), 65; https://doi.org/10.3390/risks12040065 - 09 Apr 2024
Viewed by 575
Abstract
Numerous researchers acknowledge that the occupational pension protects employees. However, in China, the total cost of occupational pensions is shared between employees and employers, representing a significant financial commitment. This study aimed to explore the effect of the occupational pension on corporate social [...] Read more.
Numerous researchers acknowledge that the occupational pension protects employees. However, in China, the total cost of occupational pensions is shared between employees and employers, representing a significant financial commitment. This study aimed to explore the effect of the occupational pension on corporate social responsibility (CSR) and organizational resilience. Drawing on insights from cost-stickiness and resource-based theories, we developed a model that elucidated the influence of occupational pensions on firms’ approaches to CSR within the context of COVID-19 and how this, in turn, impacted organizational resilience. This study categorized CSR into strategic and responsive activities, employing the concept of cost stickiness as a framework. We analyzed a sample of 34,145 observations from Chinese A-share listed companies spanning the period 2010–2023 to examine the influence of occupational pension adjustments on CSR strategies. The findings of this study revealed that the cost pressure associated with contributions to occupational pensions prompted firms to decrease their engagement in responsive CSR activities while enhancing their strategic CSR initiatives. Furthermore, it was observed that strategic CSR contributed to improved organizational resilience, whereas responsive CSR did not exhibit the same effect. The relationship between occupational pension contributions and CSR was found to be significantly and negatively moderated by factors such as the minimum wage and population aging. Conversely, the relationship between CSR and organizational resilience was significantly and positively moderated by digital transformation and marketing capabilities. Full article
(This article belongs to the Special Issue Life Insurance and Pensions: Latest Advances and Prospects)
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14 pages, 1665 KiB  
Article
Dynamic Liability-Driven Investment under Sponsor’s Loss Aversion
by Dong-Hwa Lee and Joo-Ho Sung
Risks 2024, 12(2), 38; https://doi.org/10.3390/risks12020038 - 13 Feb 2024
Viewed by 1055
Abstract
This paper investigates a dynamic liability-driven investment policy for defined-benefit (DB) plans by incorporating the loss aversion of a sponsor, who is assumed to be more sensitive to underfunding than overfunding. Through the lens of prospect theory, we first set up a loss-aversion [...] Read more.
This paper investigates a dynamic liability-driven investment policy for defined-benefit (DB) plans by incorporating the loss aversion of a sponsor, who is assumed to be more sensitive to underfunding than overfunding. Through the lens of prospect theory, we first set up a loss-aversion utility function for a sponsor whose utility depends on the funding ratio in each period, obtained from stochastic processes of pension assets and liabilities. We then construct a multi-horizon dynamic control optimization problem to find the optimal investment strategy that maximizes the expected utility of the plan sponsor. A genetic algorithm is employed to provide a numerical solution for our nonlinear dynamic optimization problem. Our results suggest that the overall paths of the optimal equity allocation decline as the age of a plan participant reaches retirement. We also find that the equity portion of the portfolio increases when a sponsor is less loss-averse or the contribution rate is lower. Full article
(This article belongs to the Special Issue Life Insurance and Pensions: Latest Advances and Prospects)
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33 pages, 1869 KiB  
Article
Pricing Life Contingencies Linked to Impaired Life Expectancies Using Intuitionistic Fuzzy Parameters
by Jorge de Andrés-Sánchez
Risks 2024, 12(2), 29; https://doi.org/10.3390/risks12020029 - 02 Feb 2024
Cited by 1 | Viewed by 1150
Abstract
Several life contingency agreements are based on the assumption that policyholders have impaired life expectancy attributable to factors, such as lifestyle, social class, or preexisting health issues. Quantifying two crucial variables, augmented death probabilities and the discount rate of projected cash flows, is [...] Read more.
Several life contingency agreements are based on the assumption that policyholders have impaired life expectancy attributable to factors, such as lifestyle, social class, or preexisting health issues. Quantifying two crucial variables, augmented death probabilities and the discount rate of projected cash flows, is essential for pricing such agreements. Information regarding the correct values of these parameters is subject to vagueness and imprecision, which further intensifies if impairments must be considered. This study proposes modelling mortality and interest rates using a generalization of fuzzy numbers (FNs), known as intuitionistic fuzzy numbers (IFNs). Consequently, this paper extends the literature on life contingency pricing with fuzzy parameters, where uncertainty in variables, such as interest rates and death probabilities, is modelled using FNs. While FNs introduce epistemic uncertainty, the use of IFNs adds bipolarity to the analysis by incorporating both positive and negative information regarding actuarial variables. Our analysis focuses on two agreements involving policyholders with impaired life expectancies: determining the annuity payment in a substandard annuity and pricing a life settlement over a whole life insurance policy. In particular, we emphasize modelling interest rates and survival probabilities using triangular intuitionistic fuzzy numbers (TIFNs) owing to their ease of interpretation and implementation. Full article
(This article belongs to the Special Issue Life Insurance and Pensions: Latest Advances and Prospects)
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