A new option for mortality–interest rates
提出一种新型死亡率-利率期权，基于死亡力和利率力之和的随机变量，推导出期望值的闭式公式，帮助年金提供者和寿险公司对冲长寿风险、死亡风险与利率风险，金融中介可从双边业务中获益。
Abstract We propose a new type of mortality–interest option related to a new random variable, the force of mortality–interest denoted as , the addition of the force of mortality and the force of interest. We assume moves approximately linearly, design the new mortality–interest option, and then derive closed‐form formulas for its expected values. We show that using the new mortality–interest options, an annuity provider and a life insurer can, respectively, hedge the longevity and mortality risks with interest rate risk; a financial intermediary selling the new options can benefit from natural hedges resulted from two‐side businesses with the annuity provider and life insurer.