Logo eprints

Basis Risk in Static versus Dynamic Longevity Risk Hedging

De Rosa, Clemente and Luciano, Elisa and Regis, Luca Basis Risk in Static versus Dynamic Longevity Risk Hedging. Scandinavian Actuarial Journal. (In Press) (2016)

Full text not available from this repository.
Related URLs


This paper provides a simple model for basis risk in a longevity framework, by separating common and idiosyncratic risk factors. Basis risk is captured by a single parameter, that measures the co-movement between the portfolio and the reference population. In this framework, the paper sets out the static, swap-based hedge for an annuity, and compares it with the dynamic, delta-based hedge, achieved using longevity bonds. We assume that the longevity intensity is distributed according to a CIR-type process and provide closed-form derivatives prices and hedges, also in the presence of an analogous CIR process for interest rate risk.

Item Type: Article
Funders: Global Risk Institute, Canada
Uncontrolled Keywords: Keywords: longevity risk, basis risk, static vs. dynamic hedging, longevity swaps, longevity bonds JEL Classification: G22, G32
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Research Area: Economics and Institutional Change
Depositing User: Users 53 not found.
Date Deposited: 11 Jan 2016 09:11
Last Modified: 26 Feb 2016 15:56
URI: http://eprints.imtlucca.it/id/eprint/2978

Actions (login required)

Edit Item Edit Item