An Intergenerational Cross-Country Swap

This paper addresses the issue of intergenerational and internationalsharing of longevity and growth risks. Current research on worldwidedemographic changes highlights the importance of longevity risk on financialmarkets and the need to devise optimal hedging vehicles. We present a potentialfinancial innovation between two countries at different stages of economicdevelopment and with different long-term challenges.[...]

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Year of publication:	2009-06-07
Authors:	Padovani, Miret ; Vanini, Paolo
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Swap \| Wirtschaftswachstum \| Risikomanagement \| risk management \| Zeitpräferenz \| Risikoverteilung

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1. Introduction
2. Structuring the swap
3. Pricing the swap
4. Exponential-utility-based price bounds
5. Challenges
6. Conclusions and future research
References

Persistent link: https://www.econbiz.de/10005868727