Pricing and hedging of longevity basis risk through securitisation

DOI10.1017/ASB.2023.37MaRDI QIDQ6494327

Pierre Devolder, Fadoua Zeddouk

Publication date: 30 April 2024

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

basis riskcost of capitalmulti-population mortality modelsolvency capital requirementlongevity basis risklongevity-linked securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Cites Work

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