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 |
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From 17:30 to 19:30
Longevity swaps: Design, pricing and hedging ( Part I )
By DEVOLDER Pierre, ZEDDOUK Fadoua- General presentation of longevity derivatives
- S forward
- Longevity swaps
- Basis risk (general definition)
- Continuous time stochastic models of mortality and longevity risk
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From 17:30 to 19:30
Longevity swaps: Design, pricing and hedging ( Part II )
By DEVOLDER Pierre, ZEDDOUK Fadoua- Classical pricing methods versus Cost of capital approach
- Pricing of S forward and longevity swaps
- Basis risk and multi population models
- Pricing of survival exchange contracts
- Hedging use of derivatives