A comparative study of pricing approaches for longevity instruments

DOI10.1016/j.insmatheco.2018.06.010zbMath1416.91200OpenAlexW2846575897MaRDI QIDQ1799642

Melvern Leung, Colin O'Hare, Man Chung Fung

Publication date: 19 October 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.06.010

zbMATH Keywords

incomplete marketMarkov chain Monte Carloparameter uncertaintystate-space modelBayesian inferencelongevity derivatives

Mathematics Subject Classification ID

Related Items (8)

Socio-economic differentiation in experienced mortality modelling and its pricing implications ⋮ Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time ⋮ PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES ⋮ Bayesian value-at-risk backtesting: the case of annuity pricing ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Market pricing of longevity-linked securities

Uses Software

• BayesDA
• StMoMo

Cites Work

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