Alternative Risk Transfer for Longevity and Mortality
نویسنده
چکیده
The paper deals with Alternative Risk Transfer (ART) through securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described including methods of their pricing and real examples (e.g. CATM bonds, longevity bonds, mortality forwards and futures, mortality swaps, and others). Hypothetical calculations concerning pricing of potential mortality forwards that correspond to the longevity evolution in the Czech Republic are presented. They make use of the cohort Life Tables constructed by Cipra (1998) for Czech pension funds. JEL Classification: G10, G23, G28, D8, J11, J26, J32, C15, C32, H55
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