Leader: Massimo Costabile (UNICAL); Other collaborator(s): Diego Ciccone (GENERALI)
Contribute to the design of innovative insurance products to mitigate the risk of an ageing population on the balance sheet of insurance companies. Determine the risk exposure of life insurance products with respect to different mortality pattern.
Brief description of the activities and of the intermediate results:
The research provided a continuous-time joint mortality model for the actuarial valuation and risk analysis of life insurance liabilities, exploiting recent developments in polynomial diffusion processes. The framework accounts for the stochastic behavior of future mortality improvements and uses a common subordinator for the marginal survival processes, thereby introducing a non-trivial dependence structure between the survival of pairs of individuals. The model can be used to evaluate products issued to multiple lives. The main advantage of the approach is to handle fatal shock events in the dependence structure. Moreover, a methodology for adding other sources of dependency to this approach is provided. In such a setup, the no-arbitrage prices of some common life insurance products for coupled lives are derived.
Moreover, the research of WP5 provided a measure of the gender gap in mortality rates, say “Gender Gap Ratio”, for several ages and countries. Stylized facts that characterize the historical trend of the Gender Gap Ratio are highlighted and ad future projections are obtained. Successively, the ability of specific stochastic models to effectively estimate the gender gap ratio(GGR) has been estimated. The analysis encompasses several countries, including Italy, and highlights systematic evidence about the fitting bias and the model risk across ages and countries. These innovations were further explored, obtaining the GGR's prediction for 10 years after selecting the best fitting stochastic mortality model among the Generalized AgePeriod-Cohort (GAPC) models. Moreover, the impact of the GGR has been quantified and the differences between male and female cases have been identified, in the case of a temporary life annuity contract, so obtaining a kind of “monetary consistency” to the gender gap.
At the intersection between Task 5.4 and the group compound by Tasks 4.1, 4.3 (in WP4), the team dealt with quantitative models of interest for life-course welfare and health risks over the life course.
The research group proposed a measure of the difference between Healthy Life Expectancy in different countries, across some populations collected in the Global Burden of Disease database. The goal was to draw attention about similarities and differences between the countries considered; to this aim, a functional clustering method has been applied to the multivariate time series of the HLE Gap.
Main policy, industrial and scientific implications
Brief description of the activities and of the intermediate results:
Spatial inequalities and gender differences are the main drivers of unequal ageing.
1. Preliminary estimates show marked geographical patterns, which may contribute significantly to differences in the access to services for older people, suggesting differential resilience to unexpected shocks.
2. The gender gap in mean retirement income increases across cohorts and with age, but the relative gender gap decreases and survivor’s benefits reduce the gap remarkably, especially late in life: hence it is important to consider the whole “welfare package” within the family.
Brief description of the activities and of the intermediate results:
The measure of the gender gap in mortality rates is considered across a wide range of populations. With the aim of highlighting similarities and differences between the countries considered, a functional clustering method to the multivariate time series of Gender Gap Ratio is applied. The functional form of the trends is reconstructed from the available discrete observations, through non-parametric smoothing. Stylized facts that characterize the historical trend of the Gender Gap Ratio are highlighted and ad future projections are obtained. The measure of the gender gap in mortality rates is considered across a wide range of populations. With the aim of highlighting similarities and differences between the countries considered, a functional clustering method to the multivariate time series of Gender Gap Ratio is applied. The functional form of the trends is reconstructed from the available discrete observations, through non-parametric smoothing.
Successively, the ability of specific stochastic models to effectively estimate the gender gap ratio (GGR) has been estimated. The analysis encompasses several countries, including Italy, and highlights systematic evidence about the fitting bias and the model risk across ages and countries. A functional cluster analysis allows to capture similarities in the fitting performance.
Main policy, industrial and scientific implications:
1. Within this context, different longevity patterns among men and women can lead to different financial outcomes, as demonstrated by research. Finally, the empirical evidence underlines the importance of working towards a more widespread demographic literacy, so the objective is also to provide a variety of tools and strategies to increase awareness of longevity among individuals and policymakers. Infact, working towards a more widespread demographic literacy is crucial in the context of gender mainstreaming and gender equality policies. Governments and financial institutions could benefit from a reliable measurement of the expected gender gap in longevity.
2. Since this study demonstrates how financial literacy and demographic literacy can enhance individuals' understanding and choices, the results obtained are also useful in achieving goals concerning the Task 5.2, and promote the adoption of gender-inclusive perspective when implementing social development policies that target individuals' well-being in their senior years.
Brief description of the activities and of the intermediate results:
With regard to the creation of innovative contracts, the different longevity patterns among men and women have been explored. The empirical evidence underlines the importance of working towards a more widespread demographic literacy, so the objective was also to provide a variety of tools and strategies to increase awareness of longevity among individuals and policymakers. The performance of the Lee-Carter (LC) model has been investigated to fit the gender gap ratio (GGR), namely the ratio of male death rates to female ones. Moreover, the team dealt with quantitative models of interest for life-course welfare and health risks over the life course. A functional data clustering has been applied to the multivariate time series of HALE Gap Rate (HGR) of different countries.
Main policy, industrial and scientific implications:
Political and industrial implications:
1) HALE is an indicator essential for planning provision of health care to elderly populations and pricing Long Term Care product
2) When dealing with a rapid population aging, it is crucial to tune official forecasting accordingly so that policymakers may benefit from more accurate projections.
Brief description of the activities and of the intermediate results:
The gender gap (GGR) in mortality rates was further measured for a wide range of populations collected in the Human Mortality Database. A functional clustering methodology enabled the categorization of European countries into groups based on historical gender gap data while analyzing the long-term trend and magnitude of the GGR. The empirical analysis focuses on the GGR data for 24 countries, almost all European, over the time interval 1965- 2014, relating to 65-years-old people. The methodological approach focuses on the relevant characteristics that different countries share in terms of the GGR evolution over time.
The obtained categorization can be utilized for further research in investigating the historical-social phenomena from which the observed trends originate.
Main policy, industrial and scientific implications:
• Address the economic implications of the gender gap in mortality rates
• Plan for arrangements for communication and financial education, with an emphasis on women
Brief description of the activities and of the intermediate results:
The ongoing research is deepening measures of the Healthy Life Expectancy (HLE).
The study concentrates on certain countries that have a high HLE gap, indicating the need for appropriate interventions in the healthcare system and LTC solutions.
Main policy, industrial and scientific implications:
• Addressing the economic implications of the Healthy Life Expectancy measures
• Making arrangements for communication and financial education, with an emphasis Healthy Life Expectancy
Dissemination Events:
Scientific Outputs: