Economic pricing of mortality-linked securities in the...

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Artigos Artigos Economic pricing of mortality-linked securities in the presence of population basis risk - Zhou, Rui

Coleção: Artigos

Título: Economic pricing of mortality-linked securities in the presence of population basis risk / Rui Zhou, Johnny Siu-Hang Li, Ken Seng Tan

Autor: Zhou, Rui Icono con lupa

Notas: Sumario: Standardised mortality-linked securities are easier to analyse and more conducive to the development of liquidity. However, when a pension plan relies on standardised instruments to hedge its longevity risk exposure, it is inevitably subject to various forms of basis risk.

Autores secundários: Siu Hang, Johnny Icono con lupa
Seng Tan, Ken Icono con lupa

Outras classificações: 6

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/

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