Event Paper: Model-Independent Price Bounds for the Swiss Re Mortality Bond 2003
Raj Kumari Bahl
University of Edinburgh
(based on joint work with Dr. Sotirios Sabanis, School of Mathematics, UoE)
ICAFM-2016, Sydney
15-16 December 2016
15th December 2016
Historical Facts
The Problem
Available Methodologies
Case Study: Swiss Re Mortality Bond 2003
A Model-independent Approach
Lower Bounds for the Swiss Re Bond
Upper Bounds for the Swiss Re Bond
Numerical Results
What Lies Ahead?
Further Research
The Modeling Aspect