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

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.


91G05 Actuarial mathematics
Full Text: DOI


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