Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers
| Autor: | Ghali El Boukfaoui, Andrew J. G. Cairns |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Economics and Econometrics 050208 finance Actuarial science Index (economics) media_common.quotation_subject 05 social sciences Longevity Context (language use) 01 natural sciences 010104 statistics & probability 0502 economics and business Economics 0101 mathematics Statistics Probability and Uncertainty Hedge (finance) Basis risk media_common |
| Zdroj: | North American Actuarial Journal. 25:S97-S118 |
| ISSN: | 2325-0453 1092-0277 |
| DOI: | 10.1080/10920277.2019.1651658 |
| Popis: | This article considers the assessment of longevity basis risk in the context of a general index-based hedge. We develop a detailed framework for measuring the impact of a hedge on regulatory or eco... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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