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- W2137189579 abstract "The previous attempts to launch liquid and standardized longevity derivatives in the market failed because banks do not seem to be ready to take longevity risk. Therefore, instead of trying to transfer longevity risk to investors, it could be interesting for financial institutions to propose interest rate hedges adapted to longevity portfolios, in the spirit of liability driven investments. In this paper, we introduce a new structured financial product: the so-called Longevity Nominal Chooser Swaption. Thanks to such a contract, insurers could keep pure longevity risk and transfer to financial markets a great part of interest rate risk underlying annuity portfolios. We use a population dynamics longevity model and a classical two-factor interest rate model to price this product. Numerical results show that the option offered to the insurer (in terms of choice of nominal) is not too expensive in many real-world cases. We also discuss the pros and the cons of the product and of our methodology." @default.
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- W2137189579 date "2016-05-01" @default.
- W2137189579 modified "2023-09-26" @default.
- W2137189579 title "Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions" @default.
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- W2137189579 doi "https://doi.org/10.1016/j.insmatheco.2016.02.001" @default.
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