Pricing longevity derivatives via Fourier transforms

Bibliographic Details
Main Author: Bravo, Jorge M.
Publication Date: 2021
Other Authors: Nunes, João Pedro Vidal
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10362/108221
Summary: Bravo, J. M., & Nunes, J. P. V. (2021). Pricing longevity derivatives via Fourier transforms. Insurance: Mathematics and Economics, 96(January), 81-97. [Advanced online publication on 1 November, 2020]. Doi: https://doi.org/10.1016/j.insmatheco.2020.10.008 ---%ABS3%
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network_acronym_str RCAP
network_name_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository_id_str https://opendoar.ac.uk/repository/7160
spelling Pricing longevity derivatives via Fourier transformsAffine mortality modelsFourier transformsLongevity bondsLongevity caps and floorsLongevity SwapsStatistics and ProbabilityEconomics and EconometricsStatistics, Probability and UncertaintySDG 8 - Decent Work and Economic GrowthBravo, J. M., & Nunes, J. P. V. (2021). Pricing longevity derivatives via Fourier transforms. Insurance: Mathematics and Economics, 96(January), 81-97. [Advanced online publication on 1 November, 2020]. Doi: https://doi.org/10.1016/j.insmatheco.2020.10.008 ---%ABS3%Longevity-linked derivatives are one of the most important longevity risk management solutions for pension schemes and life annuity portfolios. In this paper, we decompose several longevity derivatives—such as geared longevity bonds and longevity-spread bonds—into portfolios involving longevity options. For instance, we show that the fair value of an index-based longevity swap can be broken down into a portfolio of long and short positions in European-style longevity caplets and floorlets, with an underlying asset equal to a population-based survivor index and strike price equal to the initial preset survivor schedule. We develop a Fourier transform approach for European-style longevity option pricing under continuous-time affine jump–diffusion models for both cohort mortality intensities and interest rates, accounting for both positive and negative jumps in mortality. The model calibration approach is described and illustrative empirical results on the valuation of longevity derivatives, using U.S. total population mortality data, are provided.Information Management Research Center (MagIC) - NOVA Information Management SchoolNOVA Information Management School (NOVA IMS)RUNBravo, Jorge M.Nunes, João Pedro Vidal2024-12-28T01:31:53Z2021-012021-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article17application/pdfhttp://hdl.handle.net/10362/108221eng0167-6687PURE: 26627157https://doi.org/10.1016/j.insmatheco.2020.10.008info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-12-30T01:33:47Zoai:run.unl.pt:10362/108221Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T17:20:08.969917Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Pricing longevity derivatives via Fourier transforms
title Pricing longevity derivatives via Fourier transforms
spellingShingle Pricing longevity derivatives via Fourier transforms
Bravo, Jorge M.
Affine mortality models
Fourier transforms
Longevity bonds
Longevity caps and floors
Longevity Swaps
Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty
SDG 8 - Decent Work and Economic Growth
title_short Pricing longevity derivatives via Fourier transforms
title_full Pricing longevity derivatives via Fourier transforms
title_fullStr Pricing longevity derivatives via Fourier transforms
title_full_unstemmed Pricing longevity derivatives via Fourier transforms
title_sort Pricing longevity derivatives via Fourier transforms
author Bravo, Jorge M.
author_facet Bravo, Jorge M.
Nunes, João Pedro Vidal
author_role author
author2 Nunes, João Pedro Vidal
author2_role author
dc.contributor.none.fl_str_mv Information Management Research Center (MagIC) - NOVA Information Management School
NOVA Information Management School (NOVA IMS)
RUN
dc.contributor.author.fl_str_mv Bravo, Jorge M.
Nunes, João Pedro Vidal
dc.subject.por.fl_str_mv Affine mortality models
Fourier transforms
Longevity bonds
Longevity caps and floors
Longevity Swaps
Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty
SDG 8 - Decent Work and Economic Growth
topic Affine mortality models
Fourier transforms
Longevity bonds
Longevity caps and floors
Longevity Swaps
Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty
SDG 8 - Decent Work and Economic Growth
description Bravo, J. M., & Nunes, J. P. V. (2021). Pricing longevity derivatives via Fourier transforms. Insurance: Mathematics and Economics, 96(January), 81-97. [Advanced online publication on 1 November, 2020]. Doi: https://doi.org/10.1016/j.insmatheco.2020.10.008 ---%ABS3%
publishDate 2021
dc.date.none.fl_str_mv 2021-01
2021-01-01T00:00:00Z
2024-12-28T01:31:53Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/108221
url http://hdl.handle.net/10362/108221
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0167-6687
PURE: 26627157
https://doi.org/10.1016/j.insmatheco.2020.10.008
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 17
application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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