Equilibrium Pricing Approach for Longevity Bonds

Though it is experiencing steady progress in its evolution (see Blake et al. (2018)), the market for mortality linked instruments or so-called life market, is far from reaching its full potential estimated to be of tens of trillions of dollars (see Michaelson and Mulholland (2014)). Currently highly illiquid and compared to equity markets with a relatively very low number of transactions, the life market is comprised of series of negotiated, …