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Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models

Barrieu, Pauline and Veraart, Luitgard A. M. (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

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Identification Number: 10.1080/03461238.2014.916228

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
Sets: Departments > Statistics
Research centres and groups > Centre for the Analysis of Time Series (CATS)
Research centres and groups > Risk and Stochastics Group
Date Deposited: 07 Aug 2014 13:03
Last Modified: 20 Jul 2019 02:07
URI: http://eprints.lse.ac.uk/id/eprint/58742

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