Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077520 | Insurance: Mathematics and Economics | 2010 | 11 Pages |
Abstract
While different methods of how to price such securities have been proposed in recent literature, no consensus has been reached. This paper reviews, compares and comments on these different approaches. In particular, we use data from the United Kingdom to derive prices for the proposed first longevity bond and an alternative security design based on the different methods.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Daniel Bauer, Matthias Börger, Jochen RuÃ,