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Market price of longevity risk for a multi-cohort mortality model with application to longevity bond option pricing

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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001  MAP20200028901
003  MAP
005  20200921183750.0
008  200921e20200901usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20200018780‎$a‎Xu, Yajing
24510‎$a‎Market price of longevity risk for a multi-cohort mortality model with application to longevity bond option pricing‎$c‎Yajing Xu, Michael Sherris, Jonathan Ziveyi
520  ‎$a‎We introduce a multi-cohort continuous time affine mortality model and, along with an affine arbitrage-free term structure model, determine implied market prices of longevity risk in the BlackRock CoRI Retirement Indexes. These indexes provide a daily level of estimated cost of lifetime retirement income for 20 cohorts in the United States. Individuals can invest in BlackRock funds that track the indexes that are quoted on the NYSE. We use our model to derive closed-form expressions for prices of European options on longevity zero-coupon bonds and show the impact of stochastic mortality on long-term longevity bond option prices.
650 4‎$0‎MAPA20080555016‎$a‎Longevidad
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650  ‎$0‎MAPA20200021438‎$a‎Ageingnomics. Economia senior
7001 ‎$0‎MAPA20080179083‎$a‎Sherris, Michael
7001 ‎$0‎MAPA20180003172‎$a‎Ziveyi, Jonathan
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎01/09/2020 Volumen 87 Número 3 - septiembre 2020 , p. 571-595