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- W2055264784 abstract "Abstract Survivorship risk is a significant factor in the provision of retirement income. Survivor derivatives are in their early stages and offer potentially significant welfare benefits to society. This article applies the approach developed by Dowd et al. (2006) , Olivier and Jeffery (2004) , Smith (2005) , and Cairns (2007) to derive a consistent framework for pricing a wide range of linear survivor derivatives, such as forwards, basis swaps, forward swaps, and futures. It then shows how a recent option pricing model set out by Dawson et al. (2009) can be used to price nonlinear survivor derivatives, such as survivor swaptions, caps, floors, and combined option products. It concludes by considering applications of these products to a pension fund that wishes to hedge its survivorship risks." @default.
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- W2055264784 date "2010-08-02" @default.
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- W2055264784 title "<scp>Survivor Derivatives: A Consistent Pricing Framework</scp>" @default.
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- W2055264784 doi "https://doi.org/10.1111/j.1539-6975.2010.01356.x" @default.
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