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

Detalhes bibliográficos
Autor(a) principal: Santos, Sofia Alexandra Vieira dos
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/32045
Resumo: 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:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:17:49Zoai:run.unl.pt:10362/32045Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:29:47.763065Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
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:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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