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If we can simulate it, we can insure it : an application to longevity risk management

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20100039779‎$a‎Boyer, M. Martin
24510‎$a‎If we can simulate it, we can insure it‎$b‎: an application to longevity risk management‎$c‎M. Martin Boyer, Lars Stentoft
520  ‎$a‎This paper proposes a unified framework for measuring and managing longevity risk. Specifically, we develop a flexible framework for valuing survivor derivatives like forwards, and swaps, as well as options both of European and American style. Our framework is essentially independent of the assumed underlying dynamics and the choice of method for risk neutralization and relies only on the ability to simulate from the risk neutral process. We provide an application to derivatives on the survivor index when the underlying dynamics are from a Lee-Carter model. Our results show that taking the optionality into consideration is important from a pricing perspective.
650 1‎$0‎MAPA20080618780‎$a‎Variables microeconómicas
650 1‎$0‎MAPA20080555016‎$a‎Longevidad
650 1‎$0‎MAPA20080608606‎$a‎Simulación Monte Carlo
650 1‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
650 1‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 1‎$0‎MAPA20080550417‎$a‎Derivados
7001 ‎$0‎MAPA20130004938‎$a‎Stentoft, Lars
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎07/01/2013 Volumen 52 Número 1 - enero 2013 , p. 35-45