LONGEVITY SWAPS: DESIGN, PRICING AND HEDGING (01/12/2022 & 05/12/2022) (4 CPD)
By Prof. Pierre DEVOLDER, UCL and Dr. Fadoua ZEDDOUK, ISBA
In this seminar, we will address different aspects of this longevity risk, such as the modelling in continuous time framework, and the pricing issues from various angles.
We will discuss the pricing challenges for longevity derivatives, and propose a cost of capital pricing approach consistent with Solvency II.
We will also define the concept of the S-exchange product that we use we liken to the basis risk, and whose price corresponds to the hedging cost of this risk.
Some practical information:
It is possible to take the course either at Actuarial House or online through Teams.
Please indicate your choice when registering.
If necessary, it can be changed later.
Schedule of Longevity swaps: Design, pricing and hedging (4 CPD)
|Day 1, Thursday, 1 December|
|17:30 - 19:30||Longevity swaps: Design, pricing and hedging ( Part I ) By DEVOLDER Pierre, ZEDDOUK Fadoua|
|Day 2, Monday, 5 December|
|17:30 - 19:30||Longevity swaps: Design, pricing and hedging ( Part II ) By DEVOLDER Pierre, ZEDDOUK Fadoua|