The impact of model uncertainty on index-based longevity hedging and measurement of longevity basis risk
We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged. We apply the bivariate Lee–Carter model, the common factor model, a...
| 主要な著者: | , , |
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| その他の著者: | |
| フォーマット: | Journal Article |
| 言語: | English |
| 出版事項: |
2020
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| 主題: | |
| オンライン･アクセス: | https://hdl.handle.net/10356/145579 |