کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077524 | 1374134 | 2010 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Securitizing and tranching longevity exposures
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
We consider the problem of optimally designing longevity risk transfers under asymmetric information. We focus on holders of longevity exposures that have superior knowledge of the underlying demographic risks, but are willing to take them off their balance sheets because of capital requirements. In equilibrium, they transfer longevity risk to uninformed agents at a cost, where the cost is represented by retention of part of the exposure and/or by a risk premium. We use a signalling model to quantify the effects of asymmetric information and emphasize how they compound with parameter uncertainty. We show how the cost of private information can be minimized by suitably tranching securitized cashflows, or, equivalently, by securitizing the exposure in exchange for an option on mortality rates. We also investigate the benefits of pooling several longevity exposures and the impact on tranching levels.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 1, February 2010, Pages 186-197
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 1, February 2010, Pages 186-197
نویسندگان
Enrico Biffis, David Blake,