This repository contains the resources related to the article Uncertainty in Pricing and Risk Measurement of Survivor Contracts. The paper adopts a simulation-based approach to price and assess the risks associated with survivor contracts, which are indexed by the number of survivors from a reference population. Specifically, it focuses on the following survivor contracts:
- Survival forwards (S-forwards)
- Survivor swaps (S-swaps)
The following mortality models are considered in the analysis:
- Lee–Carter model
- Renshaw–Haberman model
- Cairns–Blake–Dowd model
- M6 model
The study uses eight different pricing premium principles to assess the survivor contracts:
- Wang Transform
- Proportional Hazard Transform
- Dual Power Transform
- Gini Principle
- Exponential Transform
- Standard Deviation Principle
- Variance Principle
- Mean Absolute Deviation Principle
The thesis also analyzes the impact of the chosen mortality model and premium principle on the risk measures associated with survivor derivatives. A Monte Carlo approach is employed for this analysis. The risk measures considered include:
- Value-at-Risk (VaR)
- Expected Shortfall (ES)
- A one-page poster can be found here