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Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can substantially impact a life insurers' risk and solvency situation. By using the “natural hedge” between life insurance and annuities, insurance companies have an effective tool for reducing their net‐exposure. The purpose of this paper is to analyze this risk management tool and to quantify its effectiveness in hedging against changes in mortality with respect to default risk measures.

To achieve this goal, the paper models the insurance company as a whole and takes into account the interaction between assets and liabilities. Systematic mortality risk is considered in two ways. First, systematic mortality risk is modeled using scenario analyses and, second, empirically observed changes in mortality rates for the last 10‐15 years are used.

The paper demonstrates that the consideration of both the asset and liability side is vital to obtain deeper insight into the impact of natural hedging on an insurer's risk situation and shows how to reach a desired safety level while simultaneously immunizing the portfolio against changes in mortality rates.

The paper contributes to the literature by considering the insurance company as a whole in a multi‐period setting and taking into account both, assets and liabilities, as well as their interaction. Furthermore, the paper shows how to obtain a desired safety level while simultaneously immunizing a portfolio against changes in default risk.

The purpose of this paper is to present a clear path to securitize the longevity risk with two distinct swaps in order to inspire a new Chinese life market.

Studies on longevity risk securitization consist of three aspects, respectively, instrument design, pricing methodology and mortality projection. The swaps designed are referenced, respectively, to vanilla and complex survivor swaps (Dowd et al., 2006; Lin and Cox, 2005). Methods applied are RHH model and Gompertz law for mortality projection, as well as two-factor Wang transformation for pricing.

This paper figures out the market price of risk in Chinese annuity market, checks for the sensitivity of the price to parameters and tests the hedging effects by Monte Carlo simulation.

Based on the theoretical and numerical results, this paper suggests an effective way to possibly witness the birth of New Life Market in China.

Bodies with responsibilities for paying pensions to individuals face a mortality risk in that the pensioners may prove longer lived than expected. The significant scale and uncertainity of this risk is becoming increasingly clear. Various measures are available to control this risk and new innovations such as mortality linked bonds and derivatives have been proposed. The purpose of this paper is to evaluate the alternative methods of controlling morality risk and discuss their potential policy implications.

The paper considers the various parties affected by mortaling risk and assesses the difficulties of predicting mortality. Different methods of predicting mortality are discussed. Policy issues are considered and conclusions presented.

There is a huge demand for methods of hedging and trading mortality risk. Financial markets are responding to this with a number of insurers moving into the bulk annuity market. New products, such as survivor bands and mortality derivatives, are just appearing in the market, it is still to be seen whether this major financial problem will be best be solved by the financial markets or by government intervention.

The paper offers an evaluation of the alternative methods of controlling mortality risk together with the potential policy implications.

The purpose of this paper is to examine the influence of offence type, prior imprisonment and various socio-demographic characteristics on mortality at 28 and 365 days following prison release.

Using whole-population linked, routinely collected administrative state-based imprisonment and mortality data, the authors conducted a retrospective study of 12,677 offenders released from Western Australian prisons in the period 1994-2003. Cox proportional hazards regression was used to examine the association between mortality at 28 and 365 days post-release and offence type, prior imprisonment, and a range of socio-demographic characteristics (age, gender, social disadvantage and Indigenous status).

Overall, 135 (1.1 per cent) died during the 365 days follow-up period, of these, 17.8 per cent (n=24) died within the first 28 days (four weeks) of their index release. Ex-prisoners who had committed drug-related offences had significantly higher risk of 28-day post-release mortality (HR=28.4; 95 per cent CI: 1.3-615.3, p=0.033), than those who had committed violent (non-sexual) offences. A significant association was also found between the number of previous incarcerations and post-release mortality at 28 days post-release, with three prior prison terms carrying the highest mortality risk (HR=73.8; 95 per cent CI: 1.8-3,092.5, p=0.024). No association between mortality and either offence type or prior imprisonment was seen at 365 days post-release.

Post-release mortality at 28 days was significantly associated with offence type (with drug-related offences carrying the greatest risk) and with prior imprisonment, but associations did not persist to 365 days after release. Targeting of short-term transitional programmes to reduce preventable deaths after return to the community could be tailored to these high-risk ex-prisoners.

We study changes in age-specific diabetes-related mortality and annual health care utilization. We find that half of the estimated 16% increase of diabetic mortality falls within employable age groups. We estimate that disease combination-specific increase in case fatality has resulted in premature diabetic mortality costing $3.2 billion annually. The estimated annual direct cost of treating high-risk diabetics reaches $36 billion, of which Medicare and Other Federal Programs compensate 54%. Respiratory conditions among diabetics comprise the same proportion of high-risk diabetics as do the disease combinations including coronary heart diseases. Treating of general diabetic conditions has become more efficient as indicated by the estimated declines in per unit health care costs.

Although coresidence with children when one becomes old is an ideal in Chinese society, the drastic socio-economic development in Taiwan has brought some fundamental changes to living arrangements of the elderly population. The purpose of this paper is to examine the relationship between family living arrangements and elderly health in Taiwan, given the secular trend of more elderly persons choosing to live with their spouse or to live independently.

The authors utilized panel data from the “1989 Survey of Health and Living Status of the Elderly in Taiwan” with follow-ups up to 2007 to examine how living arrangements of the elderly affect the risk of mortality using discrete-time hazard models. The authors stratified the analyses by the elderly’s preference to coreside with children, and examined whether the effects of living arrangement varied by age, controlling for sociodemographics, health status, health behaviors, and social relationships observed at the baseline.

The authors found that both the associations of living arrangements and coresidence preference with that mortality risk were largely weakened when controlling for other variables. Only among respondents expressing preference for coresidence were living arrangements associated with mortality risks, and these effects increased with age. For those who did not intend to live with children, the authors found no evidence suggesting living arrangements were associated with mortality risks. The dynamics of living arrangements among the elderly and elderly care policies in Taiwan are discussed for further research.

To the authors knowledge, no previous research has examined living arrangements and mortality risks with respect to coresidence preference.

The purpose of this paper is to review the conceptual and methodological challenges of a J-shaped association between alcohol consumption (AC), coronary heart disease (CHD) and all-cause mortality. In associated papers in this journal, Skovenborg et al., 2021 reviews the evidence for the J-shaped curve, and Ellison et al., 2021 examines the advantages and drawbacks of Mendelian randomization studies of the J-shaped curve.

A number of methodological problems are common in observational research in general, and some of the methodological problems suggested for the J-shaped alcohol-CHD-associations are discussed. The extent of the methodological problems in studies of the J-shaped curve is reviewed, and the possibility that the J-shaped curve is an artifact created by reverse causality and residual confounding is discussed. Further, the issue of interaction with drinking pattern and type of alcohol is discussed.

Imprecise categorization of alcohol intake information seems to have had little effect on the J-shaped alcohol-CHD-associations, nor has it affected the ability of these studies to show increasing mortality from a range of causes with increasing AC. The problem of “sick quitters” has been resolved by large studies using lifelong abstainers or infrequent drinkers as reference group. Many studies lack information on drinking patterns with regard to regular, moderate consumption versus binge drinking. Stratified analyses by important risk factors for CHD have not significantly changed the J-shaped association observed in most epidemiologic studies.

Potential biases and residual confounding probably do not overcome the J-shaped alcohol-CDH-association observed in most epidemiologic studies; however, the existence of a J-shaped curve is challenged by some degree of uncertainty. The actual review together with the associated papers by Skovenborg et al., 2021 and Ellison et al., 2021 offers a possibility to “update your priors” and achieve greater certainty when giving your patients information on the pros and cons of alcohol intake.

Pakistan ranks third globally in terms of newborn deaths occuring within the first 24 hours of life. With a neonatal mortality rate of 42.0%, it carries the highest burden compared to neighboring countries such as Bangladesh (17%), India (22.7%) and Afghanistan (37%). While there has been a decline in neonatal mortality rates in Pakistan, the pace of this decline is slower than that of other countries in the region. Hence, it is crucial to conduct a comprehensive examination of the risk factors contributing to neonatal mortality in Pakistan over an extended period. This study aims to analyze the trends and determinants of neonatal mortality in Pakistan over three decades, providing valuable insights into this persistent issue.

The study focused on neonatal mortality as the response variable, which is defined as the death of a live-born child within 28 days of birth. Neonates who passed away during this period were categorized as “cases,” while those who survived beyond a specific timeframe were referred to as “noncases.” To conduct a pooled analysis of neonatal mortality, birth records of 39,976 children born in the five years preceding the survey were extracted from four waves (1990–2018) of the Pakistan Demographic and Household Survey. The relationship between risk factors and the response variable was examined using the Cox Proportional Hazard Model. Neonatal mortality rates were calculated through the direct method using the “syncmrates” package in Stata 15.

During the extended period in Pakistan, several critical protective factors against neonatal mortality were identified, including a large family size, improved toilet facilities, middle-aged and educated mothers, female children, singleton live births, large size at birth and longer birth intervals. These factors were found to reduce the risk of neonatal mortality significantly.

This study makes the first attempt to analyze the trends and patterns of potential risk factors associated with neonatal mortality in Pakistan. By examining a large dataset spanning several years, the study provides valuable insights into the factors influencing neonatal mortality.

The peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-09-2022-0604

Using data from the Survey of Income and Program Participation (SIPP) matched to administrative records, we examine mortality risk and participation in the Disability Insurance (DI) and Supplemental Security Income (SSI) disability programs from a long-term perspective. Over a period of 14 years, we analyze the effect of self-reported health and disability on the probability of death and disability program entry among individuals aged 18–48 in 1984. We also assess DI and SSI programs from a life-cycle perspective. Self-reported poor health and severe disability at baseline are strongly correlated with death over the 14-year follow-up period. These variables also are strong predictors of disability program participation over the follow-up period among non-participants at baseline or before, with increasing marginal probabilities in the out-years. Our cross-sectional models are consistent with recent studies that find that the work-prevented measure is useful in modeling DI entry. However, once self-reported health and functional limitations are accounted for, the longitudinal entry models provide conflicting DI results for the work-prevented measure, suggesting that, contrary to claims based on cross-sectional or short-time horizon application models, the work-prevented measure is an unreliable indicator of severity. The risk of SSI and DI participation is significantly greater for individuals who die, suggesting that future mortality captures the effect of case severity and deterioration of health during the follow-up period. From a life-cycle perspective, a substantially greater proportion of individuals participate in SSI or DI at some point in their lives compared to typical cross-sectional estimates of participation, especially among minorities, people with less than a high school education, and those with early onset of poor health and/or disabilities. Cross-sectional estimates for the Social Security area population indicate SSI and DI participation rates of no more than 5% combined in 2000. In contrast, for individuals aged 43–48 in 1984, we observe a cumulative lifetime SSI and/or DI participation rate of 14%. The corresponding figure is 32% for individuals in that age group who did not graduate from high school, suggesting the need for human capital investments and/or improved work incentives.

The purpose of this paper is to develop a model to hedge annuity portfolios against increases in life expectancy. Across the globe, and in the industrial nations in particular, people have seen an unprecedented increase in their life expectancy over the past decades. The benefits of this apply to the individual, but the dangers apply to annuity providers. Insurance companies often possess no effective tools to address the longevity risk inherent in their annuity portfolio. Securitization can serve as a substitute for classic reinsurance, as it also transfers risk to third parties.

This paper extends on methods insurer's can use to hedge their annuity portfolio against longevity risk with the help of annuity securitization. Future mortality rates with the Lee-Carter-model and use the Wang-transformation to incorporate insurance risk are forecasted. Based on the percentile tranching method, where individual tranches are aligned to Standard & Poor's ratings, we price an inverse survivor bond. This bond offers fix coupon payments to investors, while the principal payments are at risk and depend on the survival rate within the underlying portfolio.

The contribution to the academic literature is threefold. On the theoretical side, building on the work of Kim and Choi (2011), we adapt their pricing model to the current market situation. Putting the principal at risk instead of the coupon payments, the insurer is supplied with sufficient capital to cover additional costs due to longevity. On the empirical side, the method for the German market is specified. Inserting specific country data into the model, price sensitivities of the presented securitization model are analyzed. Finally, in a case study, the procedure to the annuity portfolio of a large German life insurer is applied and the price of hedging longevity risk is calculated.

To illustrate the implication of this bond structure, several sensitivity tests were conducted before applying the pricing model to the retail sample annuity portfolio from a leading German life insurer. The securitization structure was applied to calculate the securitization prices for a sample portfolio from a large life insurance company.

The findings contribute to the current discussion about how insurers can face longevity risk within their annuity portfolios. The fact that the rating structure has such a severe impact on the overall hedging costs for the insurer implies that companies that are willing to undergo an annuity securitization should consider their deal structure very carefully. In addition, we have pointed out that in imperfect markets, the retention of the equity tranche by the originator might be advantageous. Nevertheless, one has to bear in mind that by this behavior, the insurer is able to reduce the overall default risk in his balance sheet by securitizing a life insurance portfolio; however, the fraction of first loss pieces from defaults increases more than proportionally. The insurer has to take care to not be left with large, unwanted remaining risk positions in his books.

In this paper, we extend on methods insurer's can use to hedge their annuity portfolio against longevity risk with the help of annuity securitization. To do so, we take the perspective of the issuing insurance company and calculate the costs of hedging in a four-step process. On the theoretical side, building on the work of Kim and Choi (2011), we adapt their pricing model to the current market situation. On the empirical side, we specify the method for the German market. Inserting specific country data into the model, price sensitivities of the presented securitization model are analyzed.