Survivor Swaps
نویسندگان
چکیده
This paper discusses the possible uses of survivor swaps as instruments for managing, hedging and trading mortality-dependent risks. Survivor swaps are attractive instruments for insurance companies that need to manage their mortality risks, but also offer banks, securities firms, hedge funds and other interested parties an easy avenue into the acquisition of mortality risk exposure. The paper also addresses related issues such as the role of market makers in survivor swap markets and the management of the counterparty credit risks associated with survivor swaps, and the possible uses of derivatives based on survivor swaps, such as survivor swaptions.
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Survivor Derivatives: A Consistent Pricing Framework
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