Türkiye Hayat Annüite Ürünlerindeki Ölümlülük Risklerinin Menkul Kıymetleştirilmesi

Abstract

Mortality rates are the measure of number of deaths in a society. There has been a great improvement in mortality rates in recent years. The increase in life expectancy of individuals poses a risk for insurance companies. If people live longer than anticipated, insurance companies make losses on their annuity books. The risk that mortality rates might be higher than anticipated is called the longevity risk.The aim of this paper is hedging longevity risk, securitization of longevity risks with survivor swaps and price survivor swaps using Turkey Life Tables. In this paper we examine the longevity risk and Turkey s mortality modelled by Lee-Carter model, Olivier-Smith model with beta and gamma distributions. We calculate survivor swap premium for different mortality scenarios with this models. Survivor swap is an agreement to exchange cash flows in the future based on the outcome of at least one survivor index. The first step to price the survivor swaps is to model the mortality.