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

DOI10.1017/asb.2023.11zbMath1520.91305OpenAlexW4361274150MaRDI QIDQ6174087

Torsten Kleinow, Ömür Uğur, Ayşe Arık

Publication date: 13 July 2023

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2023.11

zbMATH Keywords

mortalityjump diffusion modelsdefined benefit pension planmortality and financial marketspension buyout

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Financial markets (91G15)

Cites Work

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• Pricing pension buy-outs under stochastic interest and mortality rates
• Mortality effects of economic fluctuations in selected eurozone countries
• Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

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