Pricing longevity-linked securities in the presence of mortality trend changes

DOI10.1017/ASB.2021.5MaRDI QIDQ5152544zbMATH OpenOpenAlexFDO

Authors Arne Freimann

Publication date 24 September 2021

Published in ASTIN Bulletin (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1017/asb.2021.5

zbMATH Keywords

longevity derivativeslongevity riskmortality trend processesstochastic mortality

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A comparative study of pricing approaches for longevity instruments
• A comparative study of two-population models for the assessment of basis risk in longevity hedges
• A Universal Framework for Pricing Financial and Insurance Risks
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• Financial modeling, actuarial valuation and solvency in insurance
• If we can simulate it, we can insure it: an application to longevity risk management
• It takes two: why mortality trend modeling is more than modeling one mortality trend
• Longevity hedge effectiveness: a decomposition
• Market-consistent actuarial valuation
• Modeling trend processes in parametric mortality models
• Normalized Exponential Tilting
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• On the pricing of longevity-linked securities
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Cited in

(13)

• A comparative study of pricing approaches for longevity instruments
• Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
• Understanding, modelling and managing longevity risk: key issues and main challenges
• A cautionary note on pricing longevity index swaps
• Research on pricing longevity bonds with cohort mortality dependence
• Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models
• Forward mortality rates in discrete time. I: Calibration and securities pricing
• Market pricing of longevity-linked securities
• The pricing of mortality-linked contingent claims: an equilibrium approach
• HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
• On the pricing of longevity-linked securities
• Securitization, structuring and pricing of longevity risk
• Scanning the horizon: integrating expert knowledge into the calibration of stochastic mortality models

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