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Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 4 [Article No.:] 121 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-23
Verlag: 
MDPI, Basel
Zusammenfassung: 
We propose a multi-cohort model that is able to capture the mortality correlation between different cohorts. The model is based on the Hull and White process to which we incorporate inter-generational risk factors, by modifying its stochastic part. We provide a pricing framework for a new survival forward contract under the Cost of Capital, risk-neutral and Sharpe approaches, allowing to cover the global multi-cohort longevity risk. We give numerical illustrations for Belgian cohorts, and we compute the price of the longevity derivative under the proposed methods, for different correlation levels.
Schlagwörter: 
multi-cohort
longevity hedging
survival forward
Cost of Capital
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