The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices

DOI10.1017/ASB.2023.11MaRDI QIDQ6174087zbMATH OpenOpenAlexFDO

Authors Ayşe Arık, Ö. Uğur, Torsten Kleinow

Publication date 13 July 2023

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.2023.11

zbMATH Keywords

defined benefit pension planjump diffusion modelsmortalitymortality and financial marketspension buyout

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Financial markets (91G15)

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Cites work

• A computationally efficient algorithm for estimating the distribution of future annuity values under interest-rate and longevity risks
• A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
• A theory of the term structure of interest rates
• Affine processes for dynamic mortality and actuarial valuations
• De-risking defined benefit plans
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Keeping some skin in the game: how to start a capital market in longevity risk transfers
• Modeling and forecasting U.S. mortality. (With discussion)
• Mortality effects of economic fluctuations in selected eurozone countries
• On the (in-)dependence between financial and actuarial risks
• On the pricing of longevity-linked securities
• Pension risk management with funding and buyout options
• Pricing pension buy-outs under stochastic interest and mortality rates
• Stochastic modelling of mortality and financial markets
• The minimal entropy martingale measure in a market of traded financial and actuarial risks
• Valuation of contingent claims with mortality and interest rate risks

Cited in

(5)

• Pricing extreme mortality risk in the wake of the COVID-19 pandemic
• Pricing pension buy-outs under stochastic interest and mortality rates
• A COVID-19 stress test for life insurance: insights into the effectiveness of different risk mitigation strategies
• Guaranteed minimum income benefit valuation via a numéraire transformation approach
• Indifference pricing of mortality-linked securities using backward stochastic differential equations

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