Does Longevity Make Individual Annuities Attractive

Abstract

The purpose of this study is to analyze the money's worth values of annuities under the existence of longevity. We observe that money's worth values are higher for women than for men, implying that a certain degree of actuarial unfairness exists. Predicted mortality rates derived from the Lee-Carter model indicate that there is a higher degree of men's mortality improvement in the future. Moreover, our analysis conducted over a five-year period reveals that longevity cost and longevity risk tend to decrease over time, indicating that the level and uncertainty of mortality improvement will decrease in the future.