Securitization of Longevity Risks Using Percentile Tranche Methods

As a solution to the longevity risks in annuity business we consider securitizations which transfer the risks to the financial markets. We apply the classical Lee-Carter model to generate the future stochastic survival distribution. We show a method to design the survivor bonds using the percentile tranches and calculate the prices of the securities

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Year of publication:	2009
Authors:	Kim, Changki ; Choi, Yangho
Publisher:	[S.l.] : SSRN
Subject:	Verbriefung \| Securitization \| Australien \| Australia \| Risikomodell \| Risk model \| Sterblichkeit \| Mortality \| Prognoseverfahren \| Forecasting model

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Extent:	1 Online-Ressource (26 p)
Series:	UNSW Australian School of Business Research Paper ; No. 2009ACTL02
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 25, 2009 erstellt
Other identifiers:	10.2139/ssrn.1349398 [DOI]
Classification:	G22 - Insurance; Insurance Companies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014210251