Pricing pension buy-outs under stochastic interest and mortality rates

DOI10.1080/03461238.2017.1328370zbMATH Open1396.91290OpenAlexW2615533548MaRDI QIDQ4585941FDOQ4585941

Authors: Ayşe Arık, Yeliz Yolcu Okur, Şule Önsel Şahin, Ö. Uğur 

Publication date: 11 September 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2017.1328370

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zbMATH Keywords

change of measuremortality riskstochastic modelsinterest rate riskdefined benefit pension planpension buy-out

Mathematics Subject Classification ID

Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Modeling and forecasting U.S. mortality. (With discussion)
• A theory of the term structure of interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Title not available (Why is that?)
• Valuation of contingent claims with mortality and interest rate risks
• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• Stochastic mortality under measure changes
• Pricing a guaranteed annuity option under correlated and regime-switching risk factors
• A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
• A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
• Three ways to solve for bond prices in the Vasiček model
• On the (in-)dependence between financial and actuarial risks
• An Introduction to Computational Finance

Cited In (5)

• The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices
• A COVID-19 stress test for life insurance: insights into the effectiveness of different risk mitigation strategies
• Pension risk management with funding and buyout options
• Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates
• Pricing pension plans under jump-diffusion models for the salary

Uses Software

• Matlab

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