Pricing annuity insurance integrating mortality improvement risk, interest rate risk, insolvency risk and insurance demand

摘要

In this paper, we discuss the pricing of annuity insurance. We emphasize how to consider the mortality risk in pricing model and at the same time, integrate interest rate risk, insolvency risk and insurance demand. The results of our analysis show that it is beneficial to both of consumers and insurers if considering the factor of mortality improvement in pricing of annuity insurance.