Pricing buy-ins and buy-outs

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      <subfield code="a">Lin, Yijia</subfield>
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      <subfield code="a">Pricing buy-ins and buy-outs</subfield>
      <subfield code="c">Yijia Lin, Tianxiang Shi, Ayçe Arik</subfield>
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      <subfield code="a">Pension buy-ins and buy-outs have become an important aspect of managing pension risk in recent years. As a step toward understanding these pension de-risking instruments, we develop models for pricing investment risk and longevity risk embedded in pension buy-ins and buy-outs. We also bring a contingent-claims framework to price credit risk of buy-in bulk annuities. Overall, our model can be used to assess the pricing of investment, longevity, and credit risks being transferred in pension buy-in and buy-out transactions. </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">03/04/2017 Volumen 84 Número S1 - abril 2017 , p. 367-392</subfield>
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