A cautionary note on pricing longevity index swaps
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03461238.2010.507582
Reference22 articles.
1. Affine processes for dynamic mortality and actuarial valuations
2. Reply to "Survivor Bonds: A Comment on Blake and Burrows"
3. Survivor Bonds: Helping to Hedge Mortality Risk
4. Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities
5. Longevity Bonds: Financial Engineering, Valuation, and Hedging
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