This paper aims to give a contribution on the current debate about the pricing of longevity-linked securities. The main problem arises from the incompleteness of their market and the diculties to nd a unique market price of risk. We study the possibility to get the market price of longevity risk through the risk margin implicit in the technical provisions evaluation under the Solvency II regulation. The model is used to nd a maximum price for the xed payer of a basic survivor swap.
Pricing Basic Survivor Swaps
MENZIETTI, MASSIMILIANO;
2011-01-01
Abstract
This paper aims to give a contribution on the current debate about the pricing of longevity-linked securities. The main problem arises from the incompleteness of their market and the diculties to nd a unique market price of risk. We study the possibility to get the market price of longevity risk through the risk margin implicit in the technical provisions evaluation under the Solvency II regulation. The model is used to nd a maximum price for the xed payer of a basic survivor swap.File in questo prodotto:
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