The impact of model uncertainty on index-based longevity hedging and measurement of longevity basis risk

• Main Authors: Balasooriya, Uditha, Li, Johnny Siu-Hang, Li, Jackie
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2020
• Subjects: Business::General; Index-based Longevity Hedging; Longevity Basis Risk
• Online Access: https://hdl.handle.net/10356/145579
• Institution: Nanyang Technological University

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...