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Modelling longevity bonds: Analysing the Swiss Re Kortis bond [PDF]
Insurance: Mathematics and Economics, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
David Blake, Andrew Hunt
exaly +4 more sources
Pricing Longevity Bonds under a Credibility Framework with Limited Available Data
Risks, 2022 For annuity providers, a higher life expectancy is not always positive news, as it potentially implies increased future costs, since benefits must be provided over a longer period of time.
Apostolos Bozikas +2 more
doaj +3 more sources
Nonlinear Modeling of Mortality Data and Its Implications for Longevity Bond Pricing
Risks, 2023 Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has caused significant financial stress to pension plan sponsors and annuity providers. The widely recognized Lee–Carter model often assumes
Huijing Li, Rui Zhou, Min Ji
doaj +3 more sources
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
doaj +3 more sources
Longevity Bond Pricing by a Cohort-based Stochastic Mortality
Ungyong T'onggye Yon'gu = the Korean Journal of Applied Statistics, 2015 Abstract We propose an extension of the Lee and Jho (2015) mean reverting the two factor mortality model byincorporating a period-specific cohort effect. We found that the consideration of cohort effect improves themortality fit of Korea male data above age 65. Parameters are estimated by the weighted least squaresmethod and Metropolis algorithm.
Jae Hoon Jho, Kangsoo Lee
exaly +3 more sources
Regime-switching shot-noise processes and longevity bond pricing
Lithuanian Mathematical Journal, 2014 In this paper, we consider the valuation of longevity bonds under a regime-switching interest rate and a regimeswitching force of mortality model. The model assumes that the interest rate is driven by economic and environmental conditions described by a homogenous Markov chain and that the stochastic force of mortality is modeled by the sum of a regime-
Chongfeng Wu +2 more
exaly +3 more sources
Governments and the Market for Longevity-Indexed Bonds [PDF]
SSRN Electronic Journal, 2007 Uncertainty about length of life, longevity risk, is a growing financial problem for pension funds and annuity providers. They would like to transfer longevity risk away to institutions better placed to deal with it. Unfortunately, there is a lack of financial instruments to hedge against this longevity risk, thereby complicating risk management by ...
Blommestein, H.J., Antolin, P.
openaire +3 more sources
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
doaj +2 more sources
Sharing Longevity Risk: Why Governments Should Issue Longevity Bonds [PDF]
North American Actuarial Journal, 2010 Government-issued longevity bonds would allow longevity risk to be shared efficiently and fairly between generations. In exchange for paying a longevity risk premium, the current generation of retirees can look to future generations to hedge their systematic longevity risk.
Blake, David +2 more
openaire +3 more sources
Biomedicines, 2023 This review examines the modifying factors affecting bond strength in various bonding scenarios, particularly their relevance to the longevity of dental restorations.
Yung-Shin Fan-Chiang +10 more
doaj +1 more source