Nicole EL KAROUI
* LPSM, UMR CNRS 6632, Sorbonne Université.
Caroline HILLAIRET
** CREST, UMR CNRS 9194, ENSAE ParisTech.
Stéphane LOISEL
*** Université de Lyon, Université Claude Bernard Lyon 1, LSAF EA2429, ISFA.Contact : stephane. loisel@univ-lyon1.fr.
Yahia SALHI
**** Université de Lyon, Université Claude Bernard Lyon 1, LSAF EA2429, ISFA.Contact : yahia.salhi@univ-lyon1.fr.Nicole El Karoui et Caroline Hillairet remercient la Chaire risques financiers financée par la Société générale. Stéphane Loisel remercie l'IDR Actuariat Durable financé par Milliman Paris. Yahia Salhi et Stéphane Loisel remercient la chaire DAMI financée par BNP Paribas Cardif pour leur soutien financier.
In this article, we address the issue of the price of longevity risk. We begin by describing the risk of longevity and its components, distinguishing biometric, financial and regulatory aspects. We then explain the different valuation frameworks (actuarial, financial and regulatory), their common points and their differences. We discuss the issue of discounting and modeling long-term interest rates for longevity risk management. We also give details on the subjective and pragmatic way to handle different components of longevity risk, especially the most extreme, in the market.
