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Modelling Longevity Bonds : Analysing the Swiss Re Kortis Bond

Hunt, Andrew - 2020

mortality models to analyse its payoff and discuss the key risk factors for the bond. We also investigate how the design of the …A key contribution to the development of the traded market for longevity risk was the issuance of the Kortis bond, the … world's first longevity trend bond, by Swiss Re in 2010. We analyse the design of the Kortis bond, develop suitable …

Persistent link: https://www.econbiz.de/10012832660