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How to Price Longevity Swaps
Pricing longevity swap reinsurance transactions consists of a number of different actuarial tasks, each of which hides potential pitfalls. The article outlines the pricing process, which includes a detailed analysis of current mortality experience of the portfolio to be transferred, choice and calibration of an appropriate model for mortality improvement trends and the calculation of a risk margin which reflects the uncertainty associated with the pricing best-estimate, which includes mis-estimation risk, model risk, longevity basis risk and stochastic uncertainty.
Kai Kaufhold
Longevity
longevity swap
mortality experience analysis
mortality trend risk
risk margin
life reinsurance pricing
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Longevity, longevity swap, mortality experience analysis, mortality trend risk, risk margin, life reinsurance pricing
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