Pricing buy-ins and buy-outs

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Colección: Artículos

Título: Pricing buy-ins and buy-outs / Yijia Lin, Tianxiang Shi, Ayçe Arik

Autor: Lin, Yijia

Notas: Sumario: 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.

Materia / lugar / evento: Pensiones

Otras clasificaciones: 1

Derechos: In Copyright (InC):