Wpływ wyboru rozkładu statystycznego zmian oczekiwanej długości życia na wyznaczenie parametrów swapów przenoszących ryzyko długowieczności
The statistical distribution of changes in expected life length choice effect for the determination of parameters for longevity risk swaps

Summary/Abstract: The aim of this study is to verify the impact of the statistical distribution of changes in life expectancy selection on the determination of longevity risk swap parameters. Verification will be carried out with an analytical method on the basis of life expectancy data published by the World Bank. The parameters determined on the basis of Cauchy, normal, gamma and α-stable distributions will be compared. The results of the work confirm that the selection of statistical parameters and distributions for modelling life expectancy is a significant and key factor influencing the determination of the parameters of financial instruments based on longevity indicators. The results of the work also indicate the shortcomings of the analytical method.

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