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Pricing and hedging of longevity basis risk through securitisation - MaRDI portal

Pricing and hedging of longevity basis risk through securitisation (Q6494327)

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scientific article; zbMATH DE number 7839994
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English
Pricing and hedging of longevity basis risk through securitisation
scientific article; zbMATH DE number 7839994

    Statements

    title
    Pricing and hedging of longevity basis risk through securitisation (English)
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    author
    Fadoua Zeddouk
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    Pierre Devolder
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    publication date
    30 April 2024
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    zbMATH Keywords
    longevity basis risk
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    longevity-linked securities
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    cost of capital
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    basis risk
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    solvency capital requirement
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    multi-population mortality model
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    Identifiers

    DOI
    10.1017/asb.2023.37
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    zbMATH DE Number
    7839994
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