Assessing basis risk for longevity transactions – phase 2 presented by Dr Jackie Li and Dr Chong It Tan, IFoA Longevity Basis Risk Working Group

Abstract of the London Discussion

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Abstract

This abstract relates to the following paper: Li, J., Li, J. S. H., Tan, C. I. and Tickle, L. (2018) Assessing basis risk in index-based longevity swap transactions. Annals of Actuarial Science. Cambridge University Press, doi: 10.1017/S1748499518000179.
Original languageEnglish
Article numbere25
Number of pages20
JournalBritish Actuarial Journal
Volume23
DOIs
Publication statusPublished - 2018

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