By Ş. Şahin and A. Arık

Affiliations:

Ş. Şahin: Member of the Actuarial Society of Turkey

  Employer: Hacettepe University, Ankara

A. Arık: Member of the Actuarial Society of Turkey

  Employer: Hacettepe University, Ankara

Contact details:

A. Arık

Department of Actuarial Sciences

Hacettepe University

06800 Beytepe

Ankara, Turkey

Type:

paper

Abstract:

Mortality dynamics are characterized by changes in mortality regimes caused by various exogenous factors. Existence of these factors leads different  mortality models such as regime-switching models. Regime-switching models can describe mortality changes through different means and volatilities in the various switching states as well as identifying the time at which a shock arrives for the underlying mortality variable. These are flexible models that can accommodate jumps and changes in volatility in the mortality index. This paper describes a regime-switching model for Turkish mortality data and compares the model with more traditional models (Lee-Carter model and Poisson Log-linear model) which are already applied. The paper also aims to price longevity bonds with the proposed model.

Keywords: Longevity bonds, Pricing, Regime-switching models, Turkish mortality data.

Language:

English

Prior exposure:

The paper has not yet been published or presented at any other event.

Presentation:

We shall elicit questions that take the subject forward.