Economic pricing of mortality-linked securities in the presence of population basis risk
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.
Registros relacionados: 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
Otras clasificaciones: 6
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