Market price of longevity risk for a multi-cohort mortality model with application to longevity bond option pricing

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      <subfield code="a">Xu, Yajing </subfield>
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      <subfield code="a">Market price of longevity risk for a multi-cohort mortality model with application to longevity bond option pricing</subfield>
      <subfield code="c">Yajing Xu, Michael Sherris, Jonathan Ziveyi</subfield>
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      <subfield code="a">We introduce a multi-cohort continuous time affine mortality model and, along with an affine arbitrage-free term structure model, determine implied market prices of longevity risk in the BlackRock CoRI Retirement Indexes. These indexes provide a daily level of estimated cost of lifetime retirement income for 20 cohorts in the United States. Individuals can invest in BlackRock funds that track the indexes that are quoted on the NYSE. We use our model to derive closed-form expressions for prices of European options on longevity zero-coupon bonds and show the impact of stochastic mortality on long-term longevity bond option prices.</subfield>
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      <subfield code="a">Longevidad</subfield>
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      <subfield code="a">Modelo estocástico</subfield>
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      <subfield code="a">Ageingnomics. Economia senior</subfield>
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      <subfield code="a">Sherris, Michael</subfield>
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      <subfield code="a">Ziveyi, Jonathan</subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">01/09/2020 Volumen 87 Número 3 - septiembre 2020 , p. 571-595</subfield>
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