Pricing longevity-linked securities in the presence of mortality trend changes
Objetos digitales
| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20210027277 | ||
| 003 | MAP | ||
| 005 | 20220911201419.0 | ||
| 008 | 210920e20210510esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20210031816$aFreimann, Arne | |
| 245 | 1 | 0 | $aPricing longevity-linked securities in the presence of mortality trend changes $cArne Freimann |
| 520 | $aEven 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 modeled. | ||
| 540 | $aLa copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"$f$uhttps://creativecommons.org/licenses/by/4.0$943 | ||
| 650 | 4 | $0MAPA20080555016$aLongevidad | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20080598358$aProductos de seguros | |
| 650 | 4 | $0MAPA20190001113$aSeguros vinculados a valores | |
| 650 | 4 | $0MAPA20080564322$aTarificación | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g10/05/2021 Volumen 51 Número 2 - mayo 2021 , p. 411-447 | |
| 856 | $qapplication/pdf$w258$yRecurso electrónico / Electronic resource |