Valuation of longevity-linked life annuities

DOI10.1016/j.insmatheco.2017.09.009zbMath1398.91316OpenAlexW2756666089MaRDI QIDQ1697238

Najat El Mekkaoui de Freitas, Jorge Miguel Bravo

Publication date: 15 February 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.09.009

zbMATH Keywords

derivativesrisk managementlife annuitylongevity optionslongevity-linkedparticipating payout annuities

Mathematics Subject Classification ID

Related Items (9)

Tackling longevity risk by means of financial compensation ⋮ Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach ⋮ Pricing longevity derivatives via Fourier transforms ⋮ Target benefit pension plan with longevity risk and intergenerational equity ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Addressing the life expectancy gap in pension policy ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Dispersion modelling of mortality for both sexes with Tweedie distributions

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