Barrieu, Pauline 
ORCID: 0000-0001-9473-263X and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2016)
Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models.
Scandinavian Actuarial Journal, 2016 (2).
pp. 146-166.
ISSN 0346-1238
|
PDF
- Accepted Version
Download (501kB) | Preview |
Abstract
The aim of this paper is to study the impact of various sources of uncertainty on the pricing of a special longevity–based instrument: a q-forward contract. At the expiry of a q-forward contract, the realized mortality rate for a given population is exchanged in return for a fixed (mortality) rate that is agreed at the initiation of the contract. Pricing a q-forward involves determining this fixed rate. In our study, we disentangle three main sources of uncertainty and consider their impact on pricing: model choice for the underlying mortality rate, time-window used for estimation and the pricing method itself.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.tandfonline.com/loi/sact20#.U-N3lF9wbyA |
| Additional Information: | © 2014 Taylor & Francis |
| Divisions: | Statistics Centre for Analysis of Time Series |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 07 Aug 2014 13:03 |
| Last Modified: | 12 Dec 2024 01:03 |
| URI: | http://eprints.lse.ac.uk/id/eprint/58742 |
Actions (login required)
 |
View Item |
Download Statistics
Download Statistics