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SECURITIZATION OF LONGEVITY RISK USING PERCENTILE TRANCHING
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kim, Changki | - |
| dc.contributor.author | Choi, Yangho | - |
| dc.date.accessioned | 2021-09-07T05:53:46Z | - |
| dc.date.available | 2021-09-07T05:53:46Z | - |
| dc.date.created | 2021-06-18 | - |
| dc.date.issued | 2011-12 | - |
| dc.identifier.issn | 0022-4367 | - |
| dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/111094 | - |
| dc.description.abstract | Securitizations that transfer risk to the financial markets are a potential solution to longevity risk in the annuity business. The classical Lee-Carter model is applied to generate the future stochastic survival distribution. A method to design inverse survivor bonds using percentile tranches and to calculate the security prices is presented. The percentile tranche method is a simple and practical way for the issuer to design and price the security. This method can serve to identify the risk-yield relationship, which can provide investors with clear insight regarding the appropriate choice of tranches. | - |
| dc.language | English | - |
| dc.language.iso | en | - |
| dc.publisher | WILEY-BLACKWELL | - |
| dc.subject | LEE-CARTER METHOD | - |
| dc.subject | MORTALITY RISKS | - |
| dc.subject | CAPITAL-MARKETS | - |
| dc.subject | SURVIVOR BONDS | - |
| dc.subject | VALUATION | - |
| dc.title | SECURITIZATION OF LONGEVITY RISK USING PERCENTILE TRANCHING | - |
| dc.type | Article | - |
| dc.contributor.affiliatedAuthor | Kim, Changki | - |
| dc.identifier.doi | 10.1111/j.1539-6975.2010.01383.x | - |
| dc.identifier.scopusid | 2-s2.0-82155166044 | - |
| dc.identifier.wosid | 000297753800004 | - |
| dc.identifier.bibliographicCitation | JOURNAL OF RISK AND INSURANCE, v.78, no.4, pp.885 - 905 | - |
| dc.relation.isPartOf | JOURNAL OF RISK AND INSURANCE | - |
| dc.citation.title | JOURNAL OF RISK AND INSURANCE | - |
| dc.citation.volume | 78 | - |
| dc.citation.number | 4 | - |
| dc.citation.startPage | 885 | - |
| dc.citation.endPage | 905 | - |
| dc.type.rims | ART | - |
| dc.type.docType | Article | - |
| dc.description.journalClass | 1 | - |
| dc.description.journalRegisteredClass | ssci | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.relation.journalResearchArea | Business & Economics | - |
| dc.relation.journalWebOfScienceCategory | Business, Finance | - |
| dc.relation.journalWebOfScienceCategory | Economics | - |
| dc.subject.keywordPlus | LEE-CARTER METHOD | - |
| dc.subject.keywordPlus | MORTALITY RISKS | - |
| dc.subject.keywordPlus | CAPITAL-MARKETS | - |
| dc.subject.keywordPlus | SURVIVOR BONDS | - |
| dc.subject.keywordPlus | VALUATION | - |
| dc.subject.keywordAuthor | Securitization | - |
| dc.subject.keywordAuthor | Risk Transfer | - |
| dc.subject.keywordAuthor | Inverse survivor bonds | - |
| dc.subject.keywordAuthor | Longevity Risks | - |
| dc.subject.keywordAuthor | Percentile Tranching | - |
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