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Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method

Bibliographic Details
Main Author: Santos, Sofia Alexandra Vieira dos
Publication Date: 2018
Format: Master thesis
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10362/32045
Summary: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
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spelling Pricing longevity swaps : an empirical investigation using the risk-neutral simulation methodLongevity riskLongevity swapRisk-neutral simulationLee-Carter possion modelDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementThis paper develops and applies an empirical framework to managing and measuring the longevity risk using derivative instruments, with the aim of suppressing the normal difficulties present in pricing the premium of this type of instruments. More precisely is developed a longevity swap using United States and Japan mortality data, creating a flexible and versatile approach for pricing swap instruments through the risk neutral simulation method. This method is calculated by forecasting survival probabilities, which were estimated and simulated by predicting the mortality parameters applying log bilinear Lee-Carter model across 60 years of both countries data (1954-2014). Using this approach and both countries empirical data is offered a comparative analysis across genders, different type of ages and risk levels. This way it’s possible to expand and test the previous literature contributions and flaws, proving that derivatives are a way to manage the longevity risk in large quantities, which should be considered by insurance companies.Bravo, Jorge Miguel VenturaRUNSantos, Sofia Alexandra Vieira dos2018-03-08T17:37:12Z2018-02-262018-02-26T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/32045TID:201865335enginfo: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:RCAAP2024-05-22T17:31:14Zoai:run.unl.pt:10362/32045Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T17:02:20.273808Repositórios 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 swaps : an empirical investigation using the risk-neutral simulation method
title Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method
spellingShingle Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method
Santos, Sofia Alexandra Vieira dos
Longevity risk
Longevity swap
Risk-neutral simulation
Lee-Carter possion model
title_short Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method
title_full Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method
title_fullStr Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method
title_full_unstemmed Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method
title_sort Pricing longevity swaps : an empirical investigation using the risk-neutral simulation method
author Santos, Sofia Alexandra Vieira dos
author_facet Santos, Sofia Alexandra Vieira dos
author_role author
dc.contributor.none.fl_str_mv Bravo, Jorge Miguel Ventura
RUN
dc.contributor.author.fl_str_mv Santos, Sofia Alexandra Vieira dos
dc.subject.por.fl_str_mv Longevity risk
Longevity swap
Risk-neutral simulation
Lee-Carter possion model
topic Longevity risk
Longevity swap
Risk-neutral simulation
Lee-Carter possion model
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
publishDate 2018
dc.date.none.fl_str_mv 2018-03-08T17:37:12Z
2018-02-26
2018-02-26T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/32045
TID:201865335
url http://hdl.handle.net/10362/32045
identifier_str_mv TID:201865335
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 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
_version_ 1833596390123503616

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