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

Pricing longevity-linked securities in the presence of mortality trend changes
Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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1001 ‎$0‎MAPA20210031816‎$a‎Freimann, Arne
24510‎$a‎Pricing longevity-linked securities in the presence of mortality trend changes ‎$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
7730 ‎$w‎MAP20077000420‎$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