Department of Economics and Business Economics

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

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If we can simulate it, we can insure it : An application to longevity risk management. / Boyer, M.M.; Stentoft, Lars.

In: Insurance: Mathematics and Economics, Vol. 52, No. 1, 2013, p. 35-45.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Author

Boyer, M.M. ; Stentoft, Lars. / If we can simulate it, we can insure it : An application to longevity risk management. In: Insurance: Mathematics and Economics. 2013 ; Vol. 52, No. 1. pp. 35-45.

Bibtex

@article{03a30ef28ca84889b77f1b58c5c83d00,
title = "If we can simulate it, we can insure it: An application to longevity risk management",
abstract = "This 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.",
author = "M.M. Boyer and Lars Stentoft",
year = "2013",
doi = "10.1016/j.insmatheco.2012.10.003",
language = "English",
volume = "52",
pages = "35--45",
journal = "Insurance: Mathematics and Economics",
issn = "0167-6687",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - If we can simulate it, we can insure it

T2 - An application to longevity risk management

AU - Boyer, M.M.

AU - Stentoft, Lars

PY - 2013

Y1 - 2013

N2 - This 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.

AB - This 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.

UR - http://www.scopus.com/inward/record.url?scp=84869778002&partnerID=8YFLogxK

U2 - 10.1016/j.insmatheco.2012.10.003

DO - 10.1016/j.insmatheco.2012.10.003

M3 - Journal article

AN - SCOPUS:84869778002

VL - 52

SP - 35

EP - 45

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

IS - 1

ER -