A stochastic model for pricing longevity-linked guarantees

Technical papers

This paper develops a cohort two-factor stochastic mortality model to evaluate the impact of multiple longevity scenarios on pricing of financial guarantees linked to longevity, such as the guaranteed minimum withdrawal benefit for life products still offered by US and some European insurers. As we have seen recently, the mismanagement of such guaranteed products can have disastrous consequences for firms.

Ludovic Antony is a director in the Global Solutions for Financial Institutions team at

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