Publicação
Pricing e-forwards
| Resumo: | For pension plans and annuity providers, using capital-market-based solutions is one of the options for managing excessive mortality and longevity risk exposures. The pricing of longevity-linked securities requires the use of stochastic methods to project future mortality developments and the particular premium principles to incorporate the market price of longevity risk in an incomplete life market setting. This paper investigates the impact of the mortality model, process and parameter uncertainty, and pricing rule uncertainty on the valuation of e-forward (life expectancy) contracts. Two model combination approaches for mortality forecasting are investigated – Bayesian Model Ensemble and Stacking Regression with elastic net as meta learner – together with two popular pricing principles, the Wang transform and the Proportional Hazard transform. Mortality and life annuity data for the Portuguese total population is used to calibrate the models and produce illustrative empirical results. |
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| Autores principais: | Bravo, Jorge Miguel |
| Assunto: | Longevity risk management e-forwards Bayesian Model Ensemble Premium principle Stacking life expectancy Control and Systems Engineering Signal Processing Computer Networks and Communications SDG 1 - No Poverty SDG 10 - Reduced Inequalities |
| Ano: | 2026 |
| País: | Portugal |
| Tipo de documento: | documento de conferência |
| Tipo de acesso: | acesso embargado |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | For pension plans and annuity providers, using capital-market-based solutions is one of the options for managing excessive mortality and longevity risk exposures. The pricing of longevity-linked securities requires the use of stochastic methods to project future mortality developments and the particular premium principles to incorporate the market price of longevity risk in an incomplete life market setting. This paper investigates the impact of the mortality model, process and parameter uncertainty, and pricing rule uncertainty on the valuation of e-forward (life expectancy) contracts. Two model combination approaches for mortality forecasting are investigated – Bayesian Model Ensemble and Stacking Regression with elastic net as meta learner – together with two popular pricing principles, the Wang transform and the Proportional Hazard transform. Mortality and life annuity data for the Portuguese total population is used to calibrate the models and produce illustrative empirical results. |
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