ABSTRACT

One way of mitigating longevity risk is constructing a hedge using longevity- or mortality-linked securities. A fundamental question is how to price these securities in an incomplete life market where liabilities are not liquidly traded. Although various premium principles have been developed in the literature, no consensus has been reached on the best choice to price longevity risk. This study explores the impact of mortality model uncertainty and pricing rule uncertainty on the valuation of longevity-linked securities. Twelve premium principles based on risk-neutral and real-world measures are investigated under the Lee-Carter model and the generalised CBD model. Calibration constraints are set using the quotations of UK pension annuities to incorporate the market view of longevity risk. Different premium principles and model assumptions are tested and compared based on the estimated prices of S-forwards and longevity swaps with different maturities.

摘要

降低长寿风险的一种方法是使用与长寿或死亡相关的证券构建对冲。一个基本问题是如何在负债没有流动性交易的不完整人寿市场中为这些证券定价。尽管文献中已经制定了各种保费原则，但尚未就长寿风险定价的最佳选择达成共识。本研究探讨了死亡率模型的不确定性和定价规则的不确定性对长寿关联证券估值的影响。在 Lee-Carter 模型和广义 CBD 模型下，研究了基于风险中性和现实世界措施的 12 项保费原则。校准约束是使用英国养老金年金的报价设置的，以纳入长寿风险的市场观点。