Results 181 to 190 of about 113,454 (237)

Pricing Longevity Bonds Under the Uncertainty Theory Framework

International Journal of Pattern Recognition and Artificial Intelligence, 2019
This paper aims to develop a new pricing approach for longevity bonds under the uncertainty theory framework. First, we describe the life expectancy by a canonical uncertain process and illustrate the dynamic of short interest rate via an uncertain Vasicek interest rate model.
Jianwei Gao, Huicheng Liu
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Longevity bond pricing under the threshold CIR model

Finance Research Letters, 2015
Abstract While mean reversion is a well-documented feature in interest rate and commodity prices, empirical studies show that the long-term mean level and the mean reversion rate are not persistent in time. This paper introduces a threshold Cox–Ingersol–Ross (TCIR) model in which a regime shift is determined endogenously by the underlying financial ...
Fangyuan Dong, Hoi Ying Wong
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LONGEVITY OF RESIN BONDS TO DENTIN

Journal of Esthetic and Restorative Dentistry, 2009
Much contemporary esthetic and restorative dentistry relies on bonding of resin‐based materials to tooth structure. Adhesion of resin materials to enamel has proved to be extremely strong and reliable since the concept was first introduced by Buonocore in 1955 and widely accepted by clinicians 20–25 years later.
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Pricing and Implementation of Longevity Bonds in Taiwan

Asia-Pacific Journal of Risk and Insurance, 2008
As the population ages and the deterioration of pension funds continue, hedging longevity risk is becoming increasingly important in Taiwan. This article analyzes the potential market for issuing longevity bonds to hedge against the longevity risk in Taiwan.
Wang, Jennifer L., Yang, Sharon S.
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Managing Longevity Risk – The Case for Longevity-Indexed Variable Expiration (LIVE) Bonds

SSRN Electronic Journal, 2018
There is an annuity puzzle in that despite the welfare gains to individuals and society from consumers purchasing annuities, the actual allocation to these instruments by individuals is very low. Many explanations have been provided including adverse selection, complexity and inflexibility of the annuity contract, bequest motive etc.
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The role of longevity bonds in optimal portfolios

Insurance: Mathematics and Economics, 2008
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Longevity Bonds: Financial Engineering, Valuation, and Hedging

Journal of Risk and Insurance, 2006
AbstractThis article examines the main characteristics of longevity bonds (LBs) and shows that they can take a large variety of forms which can vary enormously in their sensitivities to longevity shocks. We examine different ways of financially engineering LBs and consider problems arising from the dearth of ultra‐long government bonds and the choice ...
David Blake, Andrew Cairns, Kevin Dowd, Richard MacMinn   +3 more
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SM Bonds—A New Product for Managing Longevity Risk

Journal of Risk and Insurance, 2017
AbstractA new type of retirement bond is proposed called an SM bond. SM bonds are long dated government bonds divisible into two parts: a survivorship (S) part and a mortality (M) part. Each SM bond is associated with a particular age. SM bonds associated with a particular age are only purchasable by (originators) of that age.
Piet de Jong, Shauna Ferris
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Hedging Longevity Risk with Longevity Bonds: Modeling, Design, and Valuation

Advances in Economics, Management and Political Sciences
The increasing life expectancy of humans poses significant longevity risk to life insurance companies and pension providers. This paper provides a systematic review of longevity bonds as a financial instrument for hedging longevity risk, examines stochastic mortality models, with a focus on the Lee-Carter model, and discusses the classification ...
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Hedging longevity risk by issuing mortality bonds

2014
With the advances in pharmaceutical industry, and the improvement of living standards, life expectancy has risen steadily since the 1960’s in the Europe and North America. Also significant underestimation of the longevity improvements and high uncertainty about future mortality has made longevity a high-profile risk for pension funds, insurers, and ...
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