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A Cautionary Note on Pricing Longevity Index Swaps
A Cautionary Note on Pricing Longevity Index Swaps In December 2007, Goldman Sachs launched a product called ... qx,t1−qx,t = A1(t) + A2(t)x 1995 2000 2005 16.8 17 17.2 17.4 17.6 17.8 18 18.2 18.4 18.6 t ...- Authors: Siu-Hang Li, Rui Zhou
- Date: Jul 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Stochastic models