Uncertainty in Pricing and Risk Measurement of Survivor Contracts

Kenrick Raymond So; Stephanie Claire Cruz; Elias Antonio Marcella; Jeric Briones; Len Patrick Dominic Garces

doi:10.3390/risks13020035

Uncertainty in Pricing and Risk Measurement of Survivor Contracts

Kenrick Raymond So, Stephanie Claire Cruz, Elias Antonio Marcella, Jeric Briones, Len Patrick Dominic Garces

Department of Mathematics

Research output: Contribution to journal › Article › peer-review

Original language	English
Article number	35
Journal	Risks
Volume	13
Issue number	2
DOIs	https://doi.org/10.3390/risks13020035
State	Published - Feb 2025

ASJC Scopus Subject Areas

Accounting
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management

Keywords

Solvency II
asset pricing
longevity risk
risk measurement
survivor swaps

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.3390/risks13020035

Cite this

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title = "Uncertainty in Pricing and Risk Measurement of Survivor Contracts",

keywords = "Solvency II, asset pricing, longevity risk, risk measurement, survivor swaps",

author = "So, {Kenrick Raymond} and Cruz, {Stephanie Claire} and Marcella, {Elias Antonio} and Jeric Briones and Garces, {Len Patrick Dominic}",

note = "Publisher Copyright: {\textcopyright} 2025 by the authors.",

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month = feb,

doi = "10.3390/risks13020035",

language = "English",

volume = "13",

journal = "Risks",

issn = "2227-9091",

publisher = "Multidisciplinary Digital Publishing Institute (MDPI)",

number = "2",

}

TY - JOUR

T1 - Uncertainty in Pricing and Risk Measurement of Survivor Contracts

AU - So, Kenrick Raymond

AU - Cruz, Stephanie Claire

AU - Marcella, Elias Antonio

AU - Briones, Jeric

AU - Garces, Len Patrick Dominic

PY - 2025/2

Y1 - 2025/2

KW - Solvency II

KW - asset pricing

KW - longevity risk

KW - risk measurement

KW - survivor swaps

UR - http://www.scopus.com/inward/record.url?scp=85218901540&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85218901540&partnerID=8YFLogxK

U2 - 10.3390/risks13020035

DO - 10.3390/risks13020035

M3 - Article

AN - SCOPUS:85218901540

SN - 2227-9091

VL - 13

JO - Risks

JF - Risks

IS - 2

M1 - 35

ER -

Uncertainty in Pricing and Risk Measurement of Survivor Contracts

ASJC Scopus Subject Areas

Keywords

UN SDGs

Access to Document

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