Enrico Biffis and Ariel Sun are at the Imperial College Business School, Imperial College London, South Kensington Campus, London SW7 2AZ, United Kingdom. Biffis can be contacted via e-mail: E.Biffis@imperial.ac.uk. Sun can be contacted via e-mail: firstname.lastname@example.org. David Blake is at the Pensions Institute, Cass Business School, 106 Bunhill Row, London EC1Y 8TZ, United Kingdom. Blake can be contacted via e-mail: D.Blake@city.ac.uk. Lorenzo Pitotti is at Credit Suisse Securities Ltd, One Cabot Square, London E14 4QJ, United Kingdom. Pitotti can be contacted via e-mail: Lorenzo.Pitotti@credit-suisse.com. We benefited from comments and suggestions received from participants at the Longevity 6 conference (Sydney), AXA Longevity Risk and Pension Funds conference (Paris), Risk Minds Insurance (Geneva), Global Derivatives (Barcelona), Pension Research Council (Wharton), and at seminars at the universities of Ulm, Georgia State, Bologna, Copenhagen, and at Collegio Carlo Alberto. We are grateful to the editor, two anonymous referees, as well as to Damiano Brigo and an anonymous longevity swaps dealer for valuable feedback. Disclaimer: The views and opinions expressed in this study are those of the authors and are not those of Credit Suisse. The authors and Credit Suisse do not accept any liability in respect of the content of this study or any claims, losses or damages arising from the use of, or reliance on, all or any part of this study.
The Cost of Counterparty Risk and Collateralization in Longevity Swaps
Article first published online: 6 AUG 2014
© 2014 The Journal of Risk and Insurance
Journal of Risk and Insurance
How to Cite
Biffis, E., Blake, D., Pitotti, L. and Sun, A. (2014), The Cost of Counterparty Risk and Collateralization in Longevity Swaps. Journal of Risk and Insurance. doi: 10.1111/jori.12055
- Article first published online: 6 AUG 2014
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