Trading mortality

Trading mortality

This dissertation sets out to describe a set of financial instruments whose cash flows are driven by the movements in some underlying population's mortality rates. For example, a longevity bond where the coupons are determined with reference to the proportion of the initial population that are...

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Bibliographic Details
Main Author: Simpson, Nathaniel
Other Authors: Prof E Mare
Published: 2013
Subjects:
Mortality derivatives
Market consistent methods
Lee-carter models
Stochastic mortality
UCTD
Online Access:http://hdl.handle.net/2263/25885
Simpson, N 2011, Trading mortality, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/25885 >
http://upetd.up.ac.za/thesis/available/etd-06262012-190659/

Internet

http://hdl.handle.net/2263/25885
Simpson, N 2011, Trading mortality, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/25885 >
http://upetd.up.ac.za/thesis/available/etd-06262012-190659/

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