Cross-National Evaluation of Life Annuity Values Under Varying Longevity and Interest Rates

DOI

10.2991/978-94-6239-604-3_5How to use a DOI?

Keywords

international; annuity; Monte Carlo combining mortality

Abstract

We compare life-annuity values across Hong Kong, Japan, the United States, and Germany to quantify how cross-country differences in longevity and interest rates shape the cost of providing $1 of lifetime income. Using 2020 period life tables from the Human Mortality Database (ages 65–110) and either a moving-block bootstrap or CIR simulations for interest-rate paths, we cleanly separate mortality and discount-rate effects. With common flat discount rates of 1–3% (mortality-only comparison), annuity factors are highest in Hong Kong and Japan, reflecting lighter old-age mortality. Under stochastic, country-specific rates (mortality + rates), mean annuity-due factors equal 17.61 (Japan), 12.41 (Hong Kong), 11.11 (United States), and 11.09 (Germany); Japan’s low-rate environment lifts value well above the others. A Kruskal–Wallis test rejects equality of the four distributions, and pairwise Wilcoxon tests show no significant difference only between the United States and Germany after Holm adjustment. Policy-wise, systems facing longer retirements and lower yields must accumulate larger reserves or adjust design (e.g., retirement ages, indexation, or risk-sharing products). The study provides a transparent baseline for cross-national annuity valuation and a framework that cleanly separates mortality and discount-rate effects.

Copyright

© 2026 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Haoyang Liu
PY  - 2026
DA  - 2026/02/26
TI  - Cross-National Evaluation of Life Annuity Values Under Varying Longevity and Interest Rates
BT  - Proceedings of the 5th International Conference on Economic Development and Business Culture (ICEDBC 2025)
PB  - Atlantis Press
SP  - 34
EP  - 44
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6239-604-3_5
DO  - 10.2991/978-94-6239-604-3_5
ID  - Liu2026
ER  -