Assessing Basis Risk for Longevity Transactions – Phase 2

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

Assessing Basis Risk for Longevity Transactions – Phase 2

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

Department of Actuarial Studies and Business Analytics

Research output: Book/Report › Commissioned report

Abstract

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 language	English
Publisher	Institute and Faculty of Actuaries
Commissioning body	The Institute and Faculty of Actuaries
Number of pages	131
Publication status	Published - 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.

Access to Document

https://www.actuaries.org.uk/system/files/field/document/Longevity%20Basis%20Risk_Phase%202%20Report.pdf

Cite this

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title = "Assessing Basis Risk for Longevity Transactions – Phase 2",

abstract = "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.",

author = "Jackie Li and Leonie Tickle and Tan, {Chong It} and Li, {Johnny Siu-Hang}",

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

year = "2017",

month = nov,

language = "English",

publisher = "Institute and Faculty of Actuaries",

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AU - Tan, Chong It

AU - Li, Johnny Siu-Hang

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PY - 2017/11

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N2 - 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.

AB - 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.

UR - https://www.actuaries.org.uk/learn-and-develop/research-and-knowledge/actuarial-research-centre-arc/commissioned-projects/longevity-basis-risk

M3 - Commissioned report

BT - Assessing Basis Risk for Longevity Transactions – Phase 2

PB - Institute and Faculty of Actuaries

ER -

Assessing Basis Risk for Longevity Transactions – Phase 2

Abstract

Bibliographical note

Access to Document

Other files and links

Cite this