This repository contains the resources relevant to my thesis. We adopt a simulation-based approach to price contracts indexed on the number of survivors from a reference population. Specifically, it prices:
- Survival forwards
- Survivor swaps
Using eight pricing premium principles:
- Wang Transform
- Proportional Hazard Transform
- Dual Power Transform
- Gini Priciple
- Exponential Transform
- Standard Deviation Principle
- Variance Principles
- Mean Absolute Deviation (MAD) Principle
Additionally, the thesis analyzes the impact of the choice of mortality model and premium principle to the risk-measures associated with the derivatives a Monte-Carlo approach. Specifically, the risk-measures considered include:
- Value-at-risk (VaR)
- Expected shortfall (cVaR)