Longevity bond pricing in equilibrium

Longevity bond pricing in equilibrium

423 Views
Added in ASTIN / NON-LIFE LIFE PENSIONS

Thanks! Share it with your friends!

URL

You disliked this video. Thanks for the feedback!

Sorry, only registred users can create playlists.
URL

Description:

Speaker: Petar Jevtic

We consider a partial equilibrium model for pricing a longevity bond in a model with stochastic mortality intensity that affects the income of economic agents. The agents trade in a risky financial security and in the longevity bond in order to maximize their utilities. Agent's risk preferences are of a monetary type and are described by backward stochastic differential equations (BSDEs). The endogenous equilibrium bond price is characterized by a BSDE. By using Clark-Haussmann formula, we prove that our longevity bond completes the market. Illustrative numerical examples are provided.

Post your comment

Sign in or sign up to post comments.
Be the first to comment