Das Institut für Mathematische Wirtschaftsforschung veranstaltet im Rahmen des Bielefeld Stochastic Afternoon regelmäßig Seminare zum Thema Finanzmathematik. Das Programm des aktuellen Semesters finden Sie hier.
Erste Vortragende: Giovanna Apicella (University of Udine)
Titel: Longevity risk modeling: bridging actuarial and behavioral perspectives
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The paper investigates why individuals' subjective survival expectations systematically differ from objective actuarial survival probabilities. In particular, consistent empirical evidence shows that individuals aged approximately 50–70 years tend to underestimate their survival prospects, while older individuals tend to overestimate them.
To explain this pattern, we develop a theoretical model in which survival beliefs’ updating is affected by psychological sentiment rather than solely by objective health information. Individuals alternate between optimistic and pessimistic states, which affect how they interpret and react to observed health shocks and update their survival beliefs. The model shows that persistent optimism, or a greater tendency to shift from pessimism to optimism, can generate the observed age-dependent pattern of subjective survival beliefs.
Using longitudinal data from the Survey of Health, Ageing and Retirement in Europe (SHARE), we empirically analyse the predictions of the model and find a consistent sentiment-driven update of probabilities.
The findings highlight the relevance of behavioral biases in longevity risk assessment, with implications for retirement planning, savings decisions, and insurance demand.
Zweiter Vortragender: Salvatore Federico (University of Bologna)
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Erster Vortragender: Marco Fritelli (Università degli Studi di Milano)
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Zweiter Vortragender: Marco Maggis (Università degli Studi di Milano)
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Erster Vortragender: Paolo Guasoni (Dublin City University)
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Zweiter Vortragender: Alpar Meszaros (Durham University)
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