Pricing longevity derivatives via Fourier transforms
Longevity-linked derivatives are one of the most important longevity risk management solutions for pension schemes and life annuity portfolios. In this paper, we decompose several longevity derivatives—such as geared longevity bonds and longevity-spread bonds—into portfolios involving longevity opti...
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| Format: | article |
| Language: | eng |
| Published: |
2022
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| Online Access: | http://hdl.handle.net/10071/23729 |
| Country: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/23729 |