This paper aims to give a contribution on the current debate about the pricing of longevity-linked securities. The main problem arises from the incompleteness of their market and the diculties to nd a unique market price of risk. We study the possibility to get the market price of longevity risk through the risk margin implicit in the technical provisions evaluation under the Solvency II regulation. The model is used to nd a maximum price for the xed payer of a basic survivor swap.

Pricing Basic Survivor Swaps

MENZIETTI, MASSIMILIANO;
2011-01-01

Abstract

This paper aims to give a contribution on the current debate about the pricing of longevity-linked securities. The main problem arises from the incompleteness of their market and the diculties to nd a unique market price of risk. We study the possibility to get the market price of longevity risk through the risk margin implicit in the technical provisions evaluation under the Solvency II regulation. The model is used to nd a maximum price for the xed payer of a basic survivor swap.
2011
9788846730459
Longevity risk securitization; Survivor swap; Solvency II
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11770/163723
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