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• W2118087890 abstract "In this paper we consider the evolution of the post-60 mortality curve in the UK and its impact on the pricing of the risk associated with mortality improvements over time: so-called longevity risk. We introduce a two-factor stochastic model for the development of this curve through time. The flrst factor afiects mortality-rate dynamics at all ages in the same way, whereas the second factor afiects mortality-rate dynamics at higher ages much more than at lower ages. The paper then examines the pricing of longevity bonds with difierent terms to maturity referenced to difierent cohorts. We flnd that longevity risk over relativelyshort time horizons is very low, but at horizons in excess of 10 years it begins to pick up very rapidly. We propose a method for risk-adjusting the market price of a longevity bond which includes an allowance for parameter risk in the stochastic mortality model. We utilise the pricing information contained in the November 2004 European Investment Bank longevity bond to make inferences about the likely market prices of the risks in the model. Based on these, we investigate how future issues might be priced to ensure an absence of arbitrage between bonds with difierent characteristics." @default.
• W2118087890 created "2016-06-24" @default.
• W2118087890 creator A5006854054 @default.
• W2118087890 date "2006-01-01" @default.
• W2118087890 modified "2023-09-26" @default.
• W2118087890 title "A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty" @default.
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