Survivor Swaps |
| |
| Authors: | Kevin Dowd David Blake rew J G Cairns Paul Dawson |
| |
| Institution: | Kevin Dowd, David Blake, Andrew J. G. Cairns, and Paul Dawson are at Nottingham University Business School, Cass Business School, Heriot-Watt University, and Kent State University, respectively. The corresponding author is Professor Kevin Dowd, Centre for Risk and Insurance Studies, Nottingham University Business School, Jubilee Campus, Nottingham NG8 1BB, UK. The author can be contacted via e-mail: . We thank Chris O'Brien, Sam Cox, Ralf Klett, Richard MacMinn, Krzysztof Ostraszewski, and two referees for very helpful contributions that have much improved the article. However, the usual academic caveat applies. The authors thank the Economic and Social Research Council for their financial support under grants RES-000-23-1036 and RES-000-27-0014. |
| |
| 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. |
| |
| Keywords: | |
|
|
