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.