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Pricing of Longevity Derivatives and Cost of Capital

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  • Zeddouk, Fadoua
  • Devolder, Pierre

Abstract

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Suggested Citation

  • Zeddouk, Fadoua & Devolder, Pierre, 2019. "Pricing of Longevity Derivatives and Cost of Capital," LIDAM Reprints ISBA 2019033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2019033
    Note: In : Risks, vol. 7(2), no.41, p. 1-29 (2019)
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    Cited by:

    1. Börger, Matthias & Freimann, Arne & Ruß, Jochen, 2021. "A combined analysis of hedge effectiveness and capital efficiency in longevity hedging," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 309-326.
    2. Hansjörg Albrecher & Karl‐Theodor Eisele & Mogens Steffensen & Mario V. Wüthrich, 2022. "On the cost‐of‐capital rate under incomplete market valuation," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(4), pages 1139-1158, December.
    3. Matthias Börger & Arne Freimann & Jochen Ruß, 2023. "On the economics of the longevity risk transfer market," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 90(3), pages 597-632, September.
    4. Fadoua Zeddouk & Pierre Devolder, 2020. "Longevity Modelling and Pricing under a Dependent Multi-Cohort Framework," Risks, MDPI, vol. 8(4), pages 1-23, November.
    5. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021. "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 81-97.

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