Journal of Statistical Theory and Applications (JSTA)This paper investigates the multivariate pricing of coupon longevity bonds (CLBs) using the Fama–French–Lee–Carter (FF–LC) five-vector model in the framework of Bayesian integrated nested Laplace approximation (INLA) in the presence of geopolitical risk (
Yethu Sithole +2 more
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Bayesian Integrated Nested Laplace Approximation (INLA) Longevity Bonds Market Model
RisksPricing coupon longevity bonds (CLBs) is challenging in illiquid markets due to the incompleteness of insurance markets and the unavailability of longevity payout data.
Yethu Sithole, Samuel Asante Gyamerah
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The Role of Longevity-Indexed Bond in Risk Management of Aggregated Defined Benefit Pension Scheme
RisksDefined benefit (DB) pension plans are a primary type of pension schemes with the sponsor assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer risks in pension plans.
Xiaoyi Zhang, Yanan Li, Junyi Guo
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Pricing participating longevity-linked life annuities: a Bayesian Model Ensemble approach. [PDF]
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