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Securitization of longevity risk: Pricing survivor bonds with Wang transform in the Lee-Carter framework

Onglets principaux

Denuit, Michel [UCL] Goderniaux, Anne-Cécile Devolder, Pierre [UCL]

Longevity risk is a major issue for insurers and pension funds, especially in the selling of annuity products. In that respect, securitization of this risk could offer great opportunities for hedging. This article proposes to design survivor bonds which could be issued directly by insurers. In order to guaranty some transparency in the product, the survivor bond is based on a public mortality index. The classical Lee-Carter model for mortality forecasting is used to price a risky coupon survivor bond based on this index.

Type de document Article de périodique (Journal article) – Article de recherche
Année de publication 2007
Langue Anglais
Information sur le périodique "Journal of Risk and Insurance" - Vol. 74, p. 87-113 (2007)
Peer reviewed oui
Editeur Wiley-Blackwell Publishing, Inc. ((United States) Hoboken)
issn 0022-4367
e-issn 1539-6975
Statut de la publication Publié
Affiliations Louvain School of Management
Louvain School of Management
UCL - EUEN/STAT - Institut de statistique
Liens
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Référence bibliographique Denuit, Michel ; Goderniaux, Anne-Cécile ; Devolder, Pierre. Securitization of longevity risk: Pricing survivor bonds with Wang transform in the Lee-Carter framework. In: Journal of Risk and Insurance, Vol. 74, p. 87-113 (2007)
Permalien http://hdl.handle.net/2078/16936