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 language | English |
|---|---|
| Pages (from-to) | 367-392 |
| Number of pages | 26 |
| Journal | Journal of Risk and Insurance |
| Volume | 84 |
| Issue number | S1 |
| DOIs | |
| Publication status | Published - Apr 2017 |