Uncertainty in Pricing and Risk Measurement of Survivor Contracts

Uncertainty in Pricing and Risk Measurement of Survivor Contracts

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on the appropriate mortality model and premium principle to pri...

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Bibliographic Details
Main Authors: Kenrick Raymond So, Stephanie Claire Cruz, Elias Antonio Marcella, Jeric Briones, Len Patrick Dominic Garces
Format: Article
Language:English
Published: MDPI AG 2025-02-01
Series:Risks
Subjects:
longevity risk
risk measurement
survivor swaps
Solvency II
asset pricing
Online Access:https://www.mdpi.com/2227-9091/13/2/35
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