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

Jackie Li; Chong It Tan

doi:10.1017/S1357321718000235

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

Jackie Li, Chong It Tan

Department of Actuarial Studies and Business Analytics

Research output: Contribution to journal › Meeting abstract

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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 language	English
Article number	e25
Number of pages	20
Journal	British Actuarial Journal
Volume	23
DOIs	https://doi.org/10.1017/S1357321718000235
Publication status	Published - 2018

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Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

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10.1017/S1357321718000235Licence: CC BY

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title = "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",

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.",

author = "Jackie Li and Tan, \{Chong It\}",

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AU - Li, Jackie

AU - Tan, Chong It

N1 - Version archived for private and non-commercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.

PY - 2018

Y1 - 2018

N2 - 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.

AB - 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.

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DO - 10.1017/S1357321718000235

M3 - Meeting abstract

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JO - British Actuarial Journal

JF - British Actuarial Journal

M1 - e25

ER -

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

Abstract

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