Pricing longevity derivatives via Fourier transforms

DOI10.1016/j.insmatheco.2020.10.008zbMath1460.91212OpenAlexW3095133382MaRDI QIDQ2656990

Jorge Miguel Bravo, João Pedro Vidal Nunes

Publication date: 17 March 2021

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.10.008

zbMATH Keywords

Fourier transformslongevity swapslongevity bondsaffine mortality modelslongevity caps and floors

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items (5)

Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach ⋮ Intergenerational actuarial fairness when longevity increases: amending the retirement age ⋮ Longevity hedge effectiveness using socioeconomic indices ⋮ Addressing the life expectancy gap in pension policy ⋮ Longevity risk and capital markets: the 2019--20 update

Uses Software

• Human Mortality

Cites Work

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