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
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.
Outras classificações: 6
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/