Economic pricing of mortality-linked securities in the presence of population basis risk

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Título: Economic pricing of mortality-linked securities in the presence of population basis risk / Rui Zhou, Johnny Siu-Hang Li, Ken Seng Tan
Autor: Zhou, Rui
Notas: 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.
Autores secundarios: Siu Hang, Johnny
Seng Tan, Ken
Otras clasificaciones: 6

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