Longevity bond premiums: The extreme value approach and risk cubic pricing

Hua, Cunqing; Cummins, J. David

doi:10.1016/j.insmatheco.2009.09.007

Cited by 52 publications

(33 citation statements)

References 43 publications

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“…These models include the contributions by Bauer and Kramer (2009), Biffis (2005), Chen (2013), Chen and Cummins (2010), Chen and Cox (2009), Chen et al ( , 2013a, Cox et al (2006Cox et al ( , 2010, Deng et al (2012), Hainaut and Devolder (2008), Lin and Cox (2008), Lin et al (2013) and Zhou et al (2013a). Several features of mortality jumps have been studied in great depth.…”

Section: Introductionmentioning

confidence: 99%

“…In terms of jump occurrence, Chen and Cox (2009) and used independent Bernoulli distributions, Cox et al (2006) considered Poisson jump counts, whereas Lin and Cox (2008) utilized a discrete-time Markov chain. In terms of jump severity, Chen and Cox (2009) made use of normal distributions, Chen and Cummins (2010) applied the extreme value theory, while Chen (2013) and Deng et al (2012) considered double-exponential jumps. In terms of correlations across different populations, Chen et al (2013a) used a factor-copula method, Lin et al (2013) built a model with correlated Brownian motions, whereas Zhou et al (2013a) considered a multinomial approach.…”

Section: Introductionmentioning

confidence: 99%

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The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds

Liu

2015

Insurance: Mathematics and Economics

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds

Liu

2015

Insurance: Mathematics and Economics

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“…pricing framework, by allowing for funding/opportunity costs associated with longevity risk exposures held by hedgers and hedge suppliers. As there is essentially no publicly available information on swap rates, our approach 13 has the advantage of using publicly available information on credit markets and regulatory standards, without having to rely exclusively on calibration to primary insurance market prices, approximate hedging methods or assumptions on agents' risk preferences (e.g., Dowd et al, 2006;Ludkovski and Young, 2008;Bauer et al, 2012Bauer et al, , 2010Biffis et al, 2010;Chen and Cummins, 2010;Cox et al, 2010;Deng et al, 2012;Wang et al, 2013, among others).…”

Section: Introductionmentioning

confidence: 99%

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

Biffis¹,

Blake

Pitotti

et al. 2012

SSRN Journal

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This is the accepted version of the paper.This version of the publication may differ from the final published version. We examine the impact of bilateral default risk and collateral rules on the marking to market of longevity swaps, and show how longevity swap rates must be determined endogenously from the collateral flows associated with the marking-to-market procedure. Permanent repository linkFor typical interest rate and mortality parameters, we find that the impact of collateralization is modest in the presence of symmetric default risk, but more pronounced when default risk and/or collateral rules are asymmetric. Our results suggest that the overall cost of collateralization is comparable with, and often much smaller than, that found in the interest-rate swaps market, which may then provide the appropriate reference framework for the credit enhancement of both indemnity-based and indexed longevity risk solutions.

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“…21 Blake and Burrows (2001). 22 Chen and Cummins (2010); Kogure and Kurachi (2010). 23 Dowd et al (2006).…”

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confidence: 99%

How Households Adjust their Consumption and Investment Plans under Longevity Risk: An Experimental Approach-based Study in Taiwan

Tien

Miao

2013

Geneva Pap Risk Insur Issues Pract

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Longevity risk may be defined as the risk of outliving one's accumulated wealth. Although many theoretical studies have suggested that individuals will increase their precautionary saving in order to mitigate longevity risk, only a few of such studies have used empirical data to test people's decision-making behaviour in response to longevity risk. The main purpose of this paper is to investigate how households adjust their consumption and investment plans in response to longevity risk. We find that households reduce their consumption over their entire lifespan and increase the proportion of their risky assets before retirement when they face longevity risk. Furthermore, we also discover that households with females, more children, higher health expenditure and greater risk aversion change their risky assets to a lesser extent in their whole life period in the face of longevity risk, compared with other households.

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Longevity bond premiums: The extreme value approach and risk cubic pricing

Cited by 52 publications

References 43 publications

The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds

The age pattern of transitory mortality jumps and its impact on the pricing of catastrophic mortality bonds

The Cost of Counterparty Risk and Collateralization in Longevity Swaps

How Households Adjust their Consumption and Investment Plans under Longevity Risk: An Experimental Approach-based Study in Taiwan

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