Ch11.part3.w09

Ch11.part3.w09 - Outline ACTSC 433/833 Winter 2009 Chapter...

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Unformatted text preview: Outline ACTSC 433/833 Winter 2009 Chapter 13 Contemporary Issues Part III Mortality Derivatives Johnny Li Department of Statistics and Actuarial Science, University of Waterloo April, 2009 Outline Outline 1 Introduction 2 Four Examples Swiss Re Mortality Bond BNP/EIB Longevity Bond Goldman Sachs QxX Index Swap JP Morgan Q-forward 3 Wrapping Up 4 The Final Exam Introduction Four Examples Wrapping Up The Final Exam What Are Mortality Derivatives? Financial contracts whose payoff is linked to the future mortality of a certain group of people. Allow market participants to either take exposure, or hedge exposure, to the longevity risk. Four examples: 1 Swiss Re mortality bond; 2 BNP/EIB longevity bond; 3 Goldman Sachs QxX index swap; 4 JP Morgan Q-forward. Introduction Four Examples Wrapping Up The Final Exam What Are Mortality Derivatives? Financial contracts whose payoff is linked to the future mortality of a certain group of people. Allow market participants to either take exposure, or hedge exposure, to the longevity risk. Four examples: 1 Swiss Re mortality bond; 2 BNP/EIB longevity bond; 3 Goldman Sachs QxX index swap; 4 JP Morgan Q-forward. Introduction Four Examples Wrapping Up The Final Exam What Are Mortality Derivatives? Financial contracts whose payoff is linked to the future mortality of a certain group of people. Allow market participants to either take exposure, or hedge exposure, to the longevity risk. Four examples: 1 Swiss Re mortality bond; 2 BNP/EIB longevity bond; 3 Goldman Sachs QxX index swap; 4 JP Morgan Q-forward. Introduction Four Examples Wrapping Up The Final Exam What Are Mortality Derivatives? Financial contracts whose payoff is linked to the future mortality of a certain group of people. Allow market participants to either take exposure, or hedge exposure, to the longevity risk. Four examples: 1 Swiss Re mortality bond; 2 BNP/EIB longevity bond; 3 Goldman Sachs QxX index swap; 4 JP Morgan Q-forward. Introduction Four Examples Wrapping Up The Final Exam What Are Mortality Derivatives? Financial contracts whose payoff is linked to the future mortality of a certain group of people. Allow market participants to either take exposure, or hedge exposure, to the longevity risk. Four examples: 1 Swiss Re mortality bond; 2 BNP/EIB longevity bond; 3 Goldman Sachs QxX index swap; 4 JP Morgan Q-forward. Introduction Four Examples Wrapping Up The Final Exam What Are Mortality Derivatives? Financial contracts whose payoff is linked to the future mortality of a certain group of people. Allow market participants to either take exposure, or hedge exposure, to the longevity risk. Four examples: 1 Swiss Re mortality bond; 2 BNP/EIB longevity bond; 3 Goldman Sachs QxX index swap; 4 JP Morgan Q-forward. Introduction Four Examples Wrapping Up The Final Exam What Are Mortality Derivatives?...
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This note was uploaded on 10/30/2009 for the course ACTSC 433 taught by Professor Johnny during the Winter '09 term at Waterloo.

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Ch11.part3.w09 - Outline ACTSC 433/833 Winter 2009 Chapter...

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