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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA)
Bravo, J. M. & Nunes, J. (2021). Pricing longevity derivatives via Fourier transforms. Insurance: Mathematics and Economics. 96, 81-97
Exportar Referência (IEEE)
J. M. Bravo and J. P. Nunes,  "Pricing longevity derivatives via Fourier transforms", in Insurance: Mathematics and Economics, vol. 96, pp. 81-97, 2021
Exportar BibTeX
	author = "Bravo, J. M. and Nunes, J.",
	title = "Pricing longevity derivatives via Fourier transforms",
	journal = "Insurance: Mathematics and Economics",
	year = "2021",
	volume = "96",
	number = "",
	doi = "10.1016/j.insmatheco.2020.10.008",
	pages = "81-97",
	url = ""
Exportar RIS
TI  - Pricing longevity derivatives via Fourier transforms
T2  - Insurance: Mathematics and Economics
VL  - 96
AU  - Bravo, J. M.
AU  - Nunes, J.
PY  - 2021
SP  - 81-97
SN  - 0167-6687
DO  - 10.1016/j.insmatheco.2020.10.008
UR  -
AB  - 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 options. For instance, we show that the fair value of an index-based longevity swap can be broken down into a portfolio of long and short positions in European-style longevity caplets and floorlets, with an underlying asset equal to a population-based survivor index and strike price equal to the initial preset survivor schedule. We develop a Fourier transform approach for European-style longevity option pricing under continuous-time affine jump–diffusion models for both cohort mortality intensities and interest rates, accounting for both positive and negative jumps in mortality. The model calibration approach is described and illustrative empirical results on the valuation of longevity derivatives, using U.S. total population mortality data, are provided.
ER  -