Pricing buy-ins and buy-outs

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<title>Pricing buy-ins and buy-outs</title>
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<namePart>Lin, Yijia</namePart>
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<abstract>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. </abstract>
<note type="statement of responsibility">Yijia Lin, Tianxiang Shi, Ayçe Arik</note>
<subject>
<topic>Pensiones</topic>
</subject>
<subject>
<topic>Longevidad</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
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<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
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<text>03/04/2017 Volumen 84 Número S1 - abril 2017 , p. 367-392</text>
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