Survivor swaps

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

doi:10.1111/j.1539-6975.2006.00163.x

Survivor swaps

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

Research output: Contribution to journal › Literature review › peer-review

188 Citations (Scopus)

Abstract

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 language	English
Pages (from-to)	1-17
Number of pages	17
Journal	Journal of Risk and Insurance
Volume	73
Issue number	1
DOIs	https://doi.org/10.1111/j.1539-6975.2006.00163.x
Publication status	Published - Mar 2006

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abstract = "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. {\textcopyright} The Journal of Risk and Insurance, 2006.",

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AU - Dawson, Paul

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AB - 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.

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Survivor swaps

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