This study investigates reasonable price bounds for mortality-linked securities when the issuer has only a partial hedging ability. The price bounds are established by minimizing the difference between the benchmark price and the replicating portfolio cost subject to the gain–loss ratio of...

In this research, we derive the valuation formulae for a defined contribution pension plan associated with the minimum rate of return guarantees. Different from the previous studies, we work on the rate of return guarantee which is linked to the [delta]-year spot rate. The payoffs of interest...

This research proposes a mortality model with an age shift to project future mortality using principal component analysis (PCA). Comparisons of the proposed PCA model with the well-known models--the Lee-Carter model, the age-period-cohort model (Renshaw and Haberman, 2006), and the Cairns,...

To deal with multi-country longevity risk, this article investigates the long-run equilibrium of mortality rates and introduces mortality correlations across countries as a means for pricing a multi-country longevity bond. The examination of the long-run equilibrium of the mortality rate relies...

Valuing guaranteed minimum withdrawal benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. However, some popular provisions of GMWB contracts, like the deferred life annuity structure, rollup interest rate guarantees, and surrender...