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Cairns, Andrew J. G.; El Boukfaoui, Ghali

Basis risk in index-based longevity hedges: a guide for longevity hedgers. (English) Zbl 1467.91137

N. Am. Actuar. J. 25, Suppl. 1, S97-S118 (2021).
Two populations are given; one for the portfolio of a life insurer, the other for a index to hedge the longevity risk. The liability of the insurer is an annuity for a scheme member and the spouse of the member. The value of the liability is calculated. A framework for measuring the impact of a hedge is developed. As example, a synthetic annuity portfolio is considered and some sensitivities are calculated.
Reviewer: Hanspeter Schmidli (Köln)

Cited in 5 Documents

MSC:

91G05 Actuarial mathematics

Keywords:

index-based longevity hedge; mortality; Solvency II; capital relief
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\textit{A. J. G. Cairns} and \textit{G. El Boukfaoui}, N. Am. Actuar. J. 25, S97--S118 (2021; Zbl 1467.91137)
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References:

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