Assessing Basis Risk for Longevity Transactions – Phase 2

Jackie Li, Leonie Tickle, Chong It Tan, Johnny Siu-Hang Li

Research output: Book/ReportCommissioned report


This technical report sets out a practical implementation of the methodology developed in Phase 1 of this work for a number of real-life datasets, and shows how index-based longevity hedges might be used to provide a significant reduction in the exposure of insurers, reinsurers, banks, and pension schemes to longevity risk.

This report forms the key output of the second phase of this work, and has been commissioned and funded by the IFoA and the LLMA, and undertaken on our behalf by Macquarie University.
Original languageEnglish
PublisherInstitute and Faculty of Actuaries
Commissioning bodyThe Institute and Faculty of Actuaries
Number of pages131
Publication statusPublished - Nov 2017

Bibliographical note

Research investigation and report by Macquarie University for the Institute and Faculty of Actuaries and the Life and Longevity Markets Association.

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