Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing

@inproceedings{Chen2010LongevityBP,
  title={Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing},
  author={Hua Chen and J. David Cummins},
  year={2010}
}
The purpose of this study is to analyze the securitization of longevity risk with an emphasis on longevity risk modeling and longevity bond premium pricing. Various longevity derivatives have been proposed, and the capital market has experienced one unsuccessful attempt by the European Investment Bank (EIB) in 2004. After carefully analyzing the pros and cons of previous securitizations, we present our proposed longevity bonds, whose payoffs are structured as a series of put option spreads. We… CONTINUE READING

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