MAP20210027277Freimann, ArnePricing longevity-linked securities in the presence of mortality trend changes / Arne FreimannSumario: Even though the trend in mortality improvements has experienced several permanent changes in the past, the uncertainty regarding future mortality trends is often left unmodeled when pricing longevity-linked securities. In this paper, we present a stochastic modeling framework for the valuation of longevity-linked securities which explicitly considers the risk of random future changes in the long-term mortality trend. We construct a set of meaningful probability distortions which imply equivalent risk-adjusted pricing measures under which the basic model structure is preserved. Inspired by risk-based capital requirements for (re)insurers, we also establish a cost-of-capital pricing approach which then serves as the appropriate reference framework for finding a reasonable range for the market price of longevity risk. In a numerical application, we demonstrate that our model produces plausible risk loadings and show that a greater proportion of the risk loading is allocated to longer maturities when the risk of random future mortality trend changes is adequately modeledLa copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)". - https://creativecommons.org/licenses/by/4.0En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 10/05/2021 Volumen 51 Número 2 - mayo 2021 , p. 411-4471. Longevidad. 2. Mortalidad. 3. Productos de seguros. 4. Seguros vinculados a valores. 5. Tarificación. 6. Matemática del seguro. I. Title.
