Survivor swaps

Kevin Dowd, David Blake, A. J G Cairns, Paul Dawson

Research output: Contribution to journalLiterature reviewpeer-review

188 Citations (Scopus)


A survivor swap (SS) is an agreement to exchange cash flows in the future based on the outcome of at least one survivor index. This article discusses the possible uses of SSs as instruments for managing, hedging, and trading mortality-dependent risks. SSs are especially useful for insurance companies, but also offer other interested parties low beta avenues into the acquisition of mortality risk exposure. The article also investigates vanilla SSs in some detail, and suggests how their premiums and values might be determined in an incomplete market setting. © The Journal of Risk and Insurance, 2006.

Original languageEnglish
Pages (from-to)1-17
Number of pages17
JournalJournal of Risk and Insurance
Issue number1
Publication statusPublished - Mar 2006


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