Cookies?
Library Header Image
LSE Research Online LSE Library Services

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

Barrieu, Pauline 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

[img]
Preview
PDF - Accepted Version
Download (501kB) | Preview

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
Date Deposited: 07 Aug 2014 13:03
Last Modified: 17 Feb 2024 00:16
URI: http://eprints.lse.ac.uk/id/eprint/58742

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics