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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Shang Qin Zhang Guozhong |
| Copyright Year | 2013 |
| Description | Author affiliation: Fac. of Manage. & Econ., Dalian Univ. of Technol., Dalian, China (Shang Qin; Zhang Guozhong) |
| Abstract | The longevity risk of individuals has been underestimated for many years. With the deepening of aging degree, the management of longevity risks has become a serious problem to government pension fund. This paper investigates the hedging strategies for longevity risk management using securitized products. Longevity bond is one of the most representatives of a series of the products. The paper designs a longevity bond and improves the pricing methodology. Compared with the existing results, the pricing model in this paper further reduces the impacts of stochastic mortality and incomplete markets. And the longevity bond can meet the demands of investors with different risk preferences. The result in this paper is more in line with the objective reality of the financial markets. |
| Starting Page | 455 |
| Ending Page | 458 |
| File Size | 97848 |
| Page Count | 4 |
| File Format | |
| ISBN | 9781479939855 |
| e-ISBN | 9781479902453 |
| DOI | 10.1109/ICIII.2013.6702972 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2013-11-23 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Economics Q measurement longevity risk Insurance Pricing Transforms longevity bonds pension Pensions Risk management incomplete market |
| Content Type | Text |
| Resource Type | Article |
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