Artikel
Longevity modelling and pricing under a dependent multi-cohort framework
We propose a multi-cohort model that is able to capture the mortality correlation between different cohorts. The model is based on the Hull and White process to which we incorporate inter-generational risk factors, by modifying its stochastic part. We provide a pricing framework for a new survival forward contract under the Cost of Capital, risk-neutral and Sharpe approaches, allowing to cover the global multi-cohort longevity risk. We give numerical illustrations for Belgian cohorts, and we compute the price of the longevity derivative under the proposed methods, for different correlation levels.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 4 ; Pages: 1-23 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
multi-cohort
longevity hedging
survival forward
Cost of Capital
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Zeddouk, Fadoua
Devolder, Pierre
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
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doi:10.3390/risks8040121
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Zeddouk, Fadoua
- Devolder, Pierre
- MDPI
Entstanden
- 2020
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