Pricing Buy-Ins and Buy-Outs

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LIN Y., SHI T., ARIK A.

JOURNAL OF RISK AND INSURANCE, cilt.84, ss.367-392, 2017 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 84
  • Basım Tarihi: 2017
  • Doi Numarası: 10.1111/jori.12159
  • Dergi Adı: JOURNAL OF RISK AND INSURANCE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.367-392
  • Hacettepe Üniversitesi Adresli: Evet

Özet

Pension buy-ins and buy-outs have become an important aspect of managing pension risk in recent years. As a step toward understanding these pension de-risking instruments, we develop models for pricing investment risk and longevity risk embedded in pension buy-ins and buy-outs. We also bring a contingent-claims framework to price credit risk of buy-in bulk annuities. Overall, our model can be used to assess the pricing of investment, longevity, and credit risks being transferred in pension buy-in and buy-out transactions.