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论文类型：会议论文

发表时间：2013-11-23

收录刊物：EI、CPCI-S、Scopus

卷号：1

页面范围：455-458

关键字：longevity risk; pension; incomplete market; longevity bonds

摘要：The longevity risk of individuals has been underestimated for many years. With the deepening of aging degree, the management of longevity risks has become a serious problem to government pension fund. This paper investigates the hedging strategies for longevity risk management using securitized products. Longevity bond is one of the most representatives of a series of the products. The paper designs a longevity bond and improves the pricing methodology. Compared with the existing results, the pricing model in this paper further reduces the impacts of stochastic mortality and incomplete markets. And the longevity bond can meet the demands of investors with different risk preferences. The result in this paper is more in line with the objective reality of the financial markets.