Pricing longevity-linked securities in the presence of mortality trend changes

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<dc:creator>Freimann, Arne</dc:creator>
<dc:date>2021-05-10</dc:date>
<dc:description xml:lang="es">Sumario: 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 modeled.</dc:description>
<dc:format xml:lang="en">application/pdf</dc:format>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/177044.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">https://creativecommons.org/licenses/by/4.0</dc:rights>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Productos de seguros</dc:subject>
<dc:subject xml:lang="es">Seguros vinculados a valores</dc:subject>
<dc:subject xml:lang="es">Tarificación</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Pricing longevity-linked securities in the presence of mortality trend changes </dc:title>
<dc:relation xml:lang="es">En: 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.  411-447</dc:relation>
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