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Trading mortality
Dissertation (MSc)--University of Pretoria, 2012.
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| Format: | Thesis |
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University of Pretoria
2013
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| _version_ | 1867613515056939008 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria |
| description | Dissertation (MSc)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/25885 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:37:22.258Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/25885 Trading mortality Mare, Eben simpsonn@out.co.za Simpson, Nathaniel Mortality derivatives Market consistent methods Lee-carter models Stochastic mortality UCTD Dissertation (MSc)--University of Pretoria, 2012. 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 alive at the coupon date. Other examples include mortality swaps and mortality swaptions which are analogous to interest rate swaps and interest rate swaptions. It also aims to show there are risks associated with mortality and that these mortality driven instruments can be used to manage some of these risks. These instruments should also enable portfolios that replicate mortality driven cash ows to be constructed. This would in turn allow the market consistent valuation of these cash flows. To construct a pricing framework for these mortality based instruments a stochastic mortality model is needed. In this dissertation the stochastic mortality model used was the Lee-Carter model. The Lee-Carter model in essence models mortality rates per age by calendar year or cohort year using Time Series techniques. Copyright Mathematics and Applied Mathematics unrestricted 2013-09-07T01:09:48Z 2012-07-03 2013-09-07T01:09:48Z 2012-04-13 2012-07-03 2012-06-26 Dissertation Simpson, N 2011, Trading mortality, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/25885 > E12/4/471/gm http://hdl.handle.net/2263/25885 http://upetd.up.ac.za/thesis/available/etd-06262012-190659/ © 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria application/pdf University of Pretoria |
| spellingShingle | Mortality derivatives Market consistent methods Lee-carter models Stochastic mortality UCTD Trading mortality |
| title | Trading mortality |
| title_full | Trading mortality |
| title_fullStr | Trading mortality |
| title_full_unstemmed | Trading mortality |
| title_short | Trading mortality |
| title_sort | trading mortality |
| topic | Mortality derivatives Market consistent methods Lee-carter models Stochastic mortality UCTD |
| url | http://hdl.handle.net/2263/25885 http://upetd.up.ac.za/thesis/available/etd-06262012-190659/ |