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

Ateneo de Manila University
University of Technology Sydney

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

UN SDGs

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

SDG 3 Good Health and Well-being

ASJC Scopus Subject Areas

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

Keywords

Solvency II
asset pricing
longevity risk
risk measurement
survivor swaps

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.",

year = "2025",

month = feb,

doi = "10.3390/risks13020035",

language = "English",

volume = "13",

journal = "Risks",

issn = "2227-9091",

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

number = "2",

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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 - https://www.scopus.com/pages/publications/85218901540

UR - https://www.scopus.com/pages/publications/85218901540#tab=citedBy

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

UN SDGs

ASJC Scopus Subject Areas

Keywords

Access to Document

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