Pricingq-forward contracts: an evaluation of estimation window and pricing method under different mortality models

DOI10.1080/03461238.2014.916228zbMath1401.91097OpenAlexW2101151665MaRDI QIDQ4576962

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Publication date: 11 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2014.916228

zbMATH Keywords

model uncertaintylongevity risk\(q\)-forwardpricing methodestimation window

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (8)

A random forest algorithm to improve the Lee-Carter mortality forecasting: impact on q-forward ⋮ Longevity hedge effectiveness using socioeconomic indices ⋮ Longevity risk and capital markets: the 2015--16 update ⋮ Editorial: Longevity risk and capital markets: the 2013--14 update ⋮ Pricing and hedging of longevity basis risk through securitisation ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update ⋮ Market pricing of longevity-linked securities

Uses Software

• forecast
• Forecast
• fpp

Cites Work

• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• On the pricing of longevity-linked securities
• Non-life insurance mathematics. An introduction with the Poisson process
• Time series: Theory and methods
• On convex principles of premium calculation
• On robust premium principles
• Key Q-Duration: A Framework for Hedging Longevity Risk
• Understanding, modelling and managing longevity risk: key issues and main challenges
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• Stochastic finance. An introduction in discrete time

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