Centro de Documentacion de Fundación MAPFRE - Economic pricing of mortality-linked securities in the presence of population basis risk

MAP20110065515

Economic pricing of mortality-linked securities in the presence of population basis risk / Rui Zhou, Johnny Siu-Hang Li, Ken Seng Tan

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

En: Geneva papers on risk and insurance : issues and practice. - Geneva : The Geneva Association, 1976- = ISSN 1018-5895. - 03/10/2011 Tomo 36 Número 4 - 2011 , p. 544-566

1. Planes de pensiones . 2. Longevidad . 3. Títulos-valores . 4. Bases técnicas . 5. Población . I. Siu Hang, Johnny . II. Seng Tan, Ken .