A cautionary note on pricing longevity index swaps

DOI10.1080/03461238.2010.507582zbMath1286.91142OpenAlexW2140523490MaRDI QIDQ2868593

Rui Zhou, Johnny Siu-Hang Li

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2010.507582

zbMATH Keywords

model risklongevity riskstochastic mortalityparametric risk

Mathematics Subject Classification ID

Related Items (7)

A discrete-time ruin model with dependence between interclaim arrivals and claim sizes ⋮ THE LOCALLY LINEAR CAIRNS–BLAKE–DOWD MODEL: A NOTE ON DELTA–NUGA HEDGING OF LONGEVITY RISK ⋮ Model-independent price bounds for catastrophic mortality bonds ⋮ Some new bounds for the minimum eigenvalue of the Hadamard product of an \(M\)-matrix and an inverse \(M\)-matrix ⋮ A comparative study of pricing approaches for longevity instruments ⋮ The complex dynamics of a stochastic toxic-phytoplankton-zooplankton model ⋮ Market pricing of longevity-linked securities

Uses Software

• Human Mortality

Cites Work

• Modeling and Forecasting U.S. Mortality
• Affine processes for dynamic mortality and actuarial valuations
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Mortality derivatives and the option to annuitise.
• Lee-Carter mortality forecasting with age-specific enhancement.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Affine stochastic mortality
• Smoothing and forecasting mortality rates
• An invariant form for the prior probability in estimation problems

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