This work considers a partial equilibrium approach for pricing longevity bonds in a stochastic mortality intensity setting. Thus, the pricing methodology developed in this work is based on a foundational economic principle and is realistic for the currently illiquid life market. Our model consists of economic agents who trade in risky financial security and longevity bonds to maximize the monetary utilities of their trades and income. Stochastic mortality intensity affects agents’ income, resulting in market incompleteness. The longevity bond introduced acts as a hedge against mortality risk, and we prove that it completes the market. From a practical perspective, we characterize and compute the endogenous equilibrium bond price. In a realistic setting with two agents in a transaction, numerical experiments confirm the expected intuition of price dependence of model parameters.

这项工作考虑了在随机死亡率强度设置下为长寿债券定价的部分均衡方法。因此，这项工作中开发的定价方法基于基本经济原理，对于当前流动性不足的寿险市场是现实的。我们的模型由交易高风险金融证券和长寿债券的经济主体组成，以最大化其交易和收入的货币效用。随机死亡率强度影响代理人的收入，导致市场不完全。推出的长寿债券可以对冲死亡风险，我们证明它完善了市场。从实践的角度来看，我们描述并计算了内生均衡债券价格。在一个交易中有两个代理的现实环境中，