<> "The repository administrator has not yet configured an RDF license."^^ . <> . . . "Basis Risk in Static versus Dynamic Longevity Risk Hedging"^^ . "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."^^ . "2016" . . "Scandinavian Actuarial Journal"^^ . . . . . . . . . . . . . . "Clemente"^^ . "De Rosa"^^ . "Clemente De Rosa"^^ . . "Elisa"^^ . "Luciano"^^ . "Elisa Luciano"^^ . . "Luca"^^ . "Regis"^^ . "Luca Regis"^^ . . . . . "HTML Summary of #2978 \n\nBasis Risk in Static versus Dynamic Longevity Risk Hedging\n\n" . "text/html" . . . "HG Finance"@en . . . "QA Mathematics"@en . .