17 Pages Posted: 8 May 2006
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.
Suggested Citation: Suggested Citation
Dowd, Kevin and Blake, David P. and Cairns, Andrew J. G. and Dawson, Paul, Survivor Swaps. Journal of Risk and Insurance, Vol. 73, No. 1, pp. 1-17, March 2006. Available at SSRN: https://ssrn.com/abstract=886797 or http://dx.doi.org/10.1111/j.1539-6975.2006.00163.x
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