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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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 The Authors |
| Library of Congress subject classification: | 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 |
| URL: | http://eprints.lse.ac.uk/58742/ |
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