Pricing pension buy-outs under stochastic interest and mortality rates

DOI10.1080/03461238.2017.1328370zbMath1396.91290OpenAlexW2615533548MaRDI QIDQ4585941

Yeliz Yolcu-Okur, Ayşe Arık, Şule Önsel Şahin, Ömür Uğur

Publication date: 11 September 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2017.1328370

zbMATH Keywords

stochastic modelschange of measureinterest rate riskmortality riskdefined benefit pension planpension buy-out

Mathematics Subject Classification ID

Related Items (1)

The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices

Uses Software

• Matlab

Cites Work

• Unnamed Item
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• Stochastic mortality under measure changes
• A Computationally Efficient Algorithm for Estimating the Distribution of Future Annuity Values Under Interest-Rate and Longevity Risks
• An Introduction to Computational Finance
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

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