Pricing buy-ins and buy-outs

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100  ‎$0‎MAPA20080014094‎$a‎Lin, Yijia
24510‎$a‎Pricing buy-ins and buy-outs‎$c‎Yijia Lin, Tianxiang Shi, Ayçe Arik
520  ‎$a‎Pension 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.
650 4‎$0‎MAPA20080552114‎$a‎Pensiones
650 4‎$0‎MAPA20080555016‎$a‎Longevidad
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎03/04/2017 Volumen 84 Número S1 - abril 2017 , p. 367-392