Basis risk in static versus dynamic longevity-risk hedging
Work
Year: 2016
Type: article
Abstract: This paper provides a tractable, parsimonious model for assessing basis risk in longevity and its effect on the hedging strategies of Pension Funds and annuity providers. Basis risk is captured by a s... more
Source: Scandinavian Actuarial Journal
Institutions Collegio Carlo Alberto, University of Turin, Network for Studies on Pensions, Aging and Retirement, IMT School for Advanced Studies Lucca
Cites: 13
Cited by: 20
Related to: 10
FWCI: 8.377
Citation percentile (by year/subfield): 98.64
Subfield: Demography
Field: Social Sciences
Domain: Social Sciences
Open Access status: green