SERVING THE QUANTITATIVE FINANCE COMMUNITY

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qhedge
Posts: 136
Joined: November 26th, 2004, 6:14 am

It's all about pricing/mispricing life expectancy. Quite interesting that banks are getting into this niche now. The market exists for quite some time and had its good share of scandals (google: Mutual Benefits Corporation).
Last edited by qhedge on June 17th, 2009, 10:00 pm, edited 1 time in total.

jomni
Posts: 999
Joined: January 26th, 2005, 11:36 pm

yeah, don't forget to price in the credit risk (the insurance company staying afloat).

vbprogrammer
Topic Author
Posts: 306
Joined: December 8th, 2003, 7:28 pm

QuoteOriginally posted by: KDanIt's all about pricing/mispricing life expectancy. Quite interesting that banks are getting into this niche now. The market exists for quite some time and had its good share of scandals (google: Mutual Benefits Corporation).that is right. there are some interesting papers on mortality rates forecast.

Yossarian22
Posts: 184
Joined: March 15th, 2007, 2:27 am

Last edited by Yossarian22 on June 17th, 2009, 10:00 pm, edited 1 time in total.

Yossarian22
Posts: 184
Joined: March 15th, 2007, 2:27 am

Watch out there is a huge amount of fraud in this business. See Here!

qhedge
Posts: 136
Joined: November 26th, 2004, 6:14 am

QuoteOriginally posted by: Yossarian22Watch out there is a huge amount of fraud in this business. See Here!As vb mentioned the bank hiring quanty staff for a trading desk I would assume that they do the modelling themselves and therefore are less prone to depend on the valuations of some shady third party.Instead I wonder who the clients for that desk would be. Insurance companies hedging against longevity risk?

Yossarian22
Posts: 184
Joined: March 15th, 2007, 2:27 am

QuoteOriginally posted by: KDanQuoteOriginally posted by: Yossarian22Watch out there is a huge amount of fraud in this business. See Here!As vb mentioned the bank hiring quanty staff for a trading desk I would assume that they do the modelling themselves and therefore are less prone to depend on the valuations of some shady third party.Instead I wonder who the clients for that desk would be. Insurance companies hedging against longevity risk?lol.. dude, model the cashflows on a policy that doesn't exist! or better yet the guy hasn't died yet but according to my calculations he must have touched the shroud of turin...hmm doctor *nod* doctor *nod* where did he get the blood infected with AIDS? ........... quanty staff my arse

qhedge
Posts: 136
Joined: November 26th, 2004, 6:14 am

got an ad from wiley today and remembered this thread: http://eu.wiley.com/WileyCDA/WileyTitle ... 41945.html
Last edited by qhedge on July 12th, 2009, 10:00 pm, edited 1 time in total.

LTrain
Posts: 1077
Joined: June 23rd, 2004, 6:42 pm