Centro de Documentacion de Fundación MAPFRE - Pricing buy-ins and buy-outs

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. Registros relacionados: En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 03/04/2017 Volumen 84 Número S1 - abril 2017 , p. 367-392Materia / lugar / evento: Pensiones Longevidad Outras classificações: 1

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