Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 陈伟森教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1057/gpp.2015.9 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL
其它资讯
摘要Pension plan sponsors and annuity providers can offload their longevity risk exposures by trading securities that are linked to broad-based mortality indexes. However, a hedge constructed in this way is subject to population basis risk, arising from the difference in mortality improvements between the hedger's population and the reference population to which the security is linked. To address this problem, which is believed to be a major obstacle to market development, in this paper we contribute a graphical population basis risk metric. The graphical metric allows market participants to not only visually evaluate the extent of population basis risk, but also determine the most appropriate reference population. We illustrate this concept with a hypothetical example.
着者Chan WS, Li JSH, Zhou KQ, Zhou R
期刊名称Geneva Papers on Risk and Insurance - Issues and Practice
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/016
月份1
日期1
卷号41
期次1
出版社PALGRAVE MACMILLAN LTD
页次118 - 127
国际标準期刊号1http://aims.cuhk.edu.hk/converis/portal/Publication/018-5895
电子国际标準期刊号1468-http://aims.cuhk.edu.hk/converis/portal/Publication/044http://aims.cuhk.edu.hk/converis/portal/Publication/0
语言英式英语
关键词basis risk; longevity risk; prediction regions
Web of Science 学科类别Business & Economics; Business, Finance
