Securitization, structuring and pricing of longevity risk |
| |
Authors: | Samuel Wills |
| |
Affiliation: | School of Actuarial Studies, Australian School of Business, University of New South Wales, Sydney, NSW, 2052, Australia |
| |
Abstract: | Pricing and risk management for longevity risk have increasingly become major challenges for life insurers and pension funds around the world. Risk transfer to financial markets, with their major capacity for efficient risk pooling, is an area of significant development for a successful longevity product market. The structuring and pricing of longevity risk using modern securitization methods, common in financial markets, have yet to be successfully implemented for longevity risk management. There are many issues that remain unresolved for ensuring the successful development of a longevity risk market. This paper considers the securitization of longevity risk focusing on the structuring and pricing of a longevity bond using techniques developed for the financial markets, particularly for mortgages and credit risk. A model based on Australian mortality data and calibrated to insurance risk linked market data is used to assess the structure and market consistent pricing of a longevity bond. Age dependence in the securitized risks is shown to be a critical factor in structuring and pricing longevity linked securitizations. |
| |
Keywords: | G22 G23 G32 G13 |
本文献已被 ScienceDirect 等数据库收录! |
|