Pricing Buy-Ins and Buy-Outs

Yijia Lin*, Tianxiang Shi, Ayse Arik

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

16 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)367-392
Number of pages26
JournalJournal of Risk and Insurance
Volume84
Issue numberS1
DOIs
Publication statusPublished - Apr 2017

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