A cautionary note on pricing longevity index swaps

ISSN： 0346-1238

Source： Scandinavian Actuarial Journal, Vol.2013, Iss.1, 2013-01, pp. : 1-23

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Pricing credit default swaps with bilateral value adjustments

By Lipton Alexander Savescu Ioana

Quantitative Finance, Vol. 14, Iss. 1, 2014-01 ,pp. : 171-188

Routledge Ltd

Access to resources Recommend Favorite

Longevity risk and survivor derivative pricing

By Dawson Paul Lin Hai Liu Yangshu

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 14, Iss. 2, 2013-02 ,pp. : 140-158

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case

By Elliott Robert J. Lian Guang-Hua

Quantitative Finance, Vol. 13, Iss. 5, 2013-05 ,pp. : 687-698

Routledge Ltd

Access to resources Recommend Favorite

Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case

By Itkin Andrey

Review of Derivatives Research, Vol. 13, Iss. 2, 2010-07 ,pp. : 141-176

Springer Publishing Company

Access to resources Recommend Favorite

Pensions and genetics: can longevity genes be reliable risk factors for annuity pricing?

By Macdonald Angus

Scandinavian Actuarial Journal, Vol. 2010, Iss. 1, 2010-03 ,pp. : 1-14

Taylor & Francis Ltd

Access to resources Recommend Favorite