Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers

DOI10.1080/10920277.2019.1651658zbMath1467.91137OpenAlexW2903347062WikidataQ126558891 ScholiaQ126558891MaRDI QIDQ4987092

Ghali El Boukfaoui, Andrew J. G. Cairns

Publication date: 28 April 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2019.1651658

zbMATH Keywords

mortalitySolvency IIindex-based longevity hedgecapital relief

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (8)

Tail index-linked annuity: A longevity risk sharing retirement plan ⋮ Green nested simulation via likelihood ratio: applications to longevity risk management ⋮ Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard ⋮ Longevity hedge effectiveness using socioeconomic indices ⋮ It takes two: why mortality trend modeling is more than modeling one mortality trend ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX

Cites Work

• Modeling and Forecasting U.S. Mortality
• Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard
• Longevity hedge effectiveness: a decomposition
• Modelling and management of mortality risk: a review
• A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
• MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX

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