On the pricing of longevity-linked securities. (English) Zbl 1231.91142

Summary: For annuity providers, longevity risk, i.e. the risk that future mortality trends differ from those anticipated, constitutes an important risk factor. In order to manage this risk, new financial products, so-called longevity derivatives, may be needed, even though a first attempt to issue a longevity bond in 2004 was not successful.


91B30 Risk theory, insurance (MSC2010)
91G20 Derivative securities (option pricing, hedging, etc.)
Full Text: DOI


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