Hedging longevity risk using longevity swaps

Simple item page
dc.contributor.authorWanyama, Assumpta Adhiambo
dc.date.accessioned2019-05-03T17:42:41Z
dc.date.available2019-05-03T17:42:41Z
dc.date.issued2018
dc.descriptionA Research project submitted in partial fulfillment of the requirements for the degree of Bachelor of Business Science in Actuarial Science at Strathmore Universityen_US
dc.description.abstractLongevity-linked securities provide the desirable hedging instruments to insurers and annuity providers, and on the other hand, diversification benefits to their counter parties such as the reinsurers and banks. In Kenya however, the longevity market is not in existence and as such this paper seeks to model a longevity swap in the Kenyan context and determine its effectiveness in hedging longevity risk. The longevity swap is modeled using the distortion approach; Wang transform. With the projected cash flows for the floating and the fixed leg, the swap value is calculated, which gives the amount the insurer or annuity provider will have to pay to get into the contract. In determining the hedge effectiveness, sensitivity analysis was conducted on the parameters including the interest rates, cohort ages, term of the swap against the swap premium and the swap value. The results were that the premium increases with the term and entry age of the reference cohort. In terms of the swap value which is the difference between the present values of the floating against the fixed leg, as the population gets older the swap gets cheaper and therefore becomes more effective to hedge for lower ages.en_US
dc.identifier.urihttp://hdl.handle.net/11071/6469
dc.language.isoen_USen_US
dc.publisherStrathmore Universityen_US
dc.titleHedging longevity risk using longevity swapsen_US
dc.typeUndergraduate projecten_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Hedging longevity using longevity swaps.pdf
Size:
11.26 MB
Format:
Adobe Portable Document Format
Description:
Full-text Undergraduate project
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
BBSA Research Projects (2018)