A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES

DOI10.1017/asb.2017.18zbMath1390.91215OpenAlexW2620549308MaRDI QIDQ4563806

Steven Haberman, Vladimir K. Kaishev, Pietro Millossovich, Andrés M. Villegas

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/17449/1/ComparativeModelLongevityHedges_ASTIN_FINAL.pdf

zbMATH Keywords

hedge effectivenesslongevity basis riskindex-based hedgesstochastic moralitytwo-population mortality models

Mathematics Subject Classification ID

Related Items (30)

Exchangeable mortality projection ⋮ Stochastic mortality dynamics driven by mixed fractional Brownian motion ⋮ Multi-population modelling and forecasting life-table death counts ⋮ Basis risk in static versus dynamic longevity-risk hedging ⋮ Mortality projections for higher educational attainment with semi-parametric accelerated hazard relational models ⋮ Mortality Improvement Rates: Modeling, Parameter Uncertainty, and Robustness ⋮ Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables ⋮ Longevity hedge effectiveness using socioeconomic indices ⋮ Socioeconomic differentials in mortality: implications on index-based longevity hedges ⋮ Multi-population mortality forecasting using tensor decomposition ⋮ Dynamic modelling and coherent forecasting of mortality rates: a time-varying coefficient spatial-temporal autoregressive approach ⋮ A DOUBLE COMMON FACTOR MODEL FOR MORTALITY PROJECTION USING BEST-PERFORMANCE MORTALITY RATES AS REFERENCE ⋮ PRICING LONGEVITY-LINKED SECURITIES IN THE PRESENCE OF MORTALITY TREND CHANGES ⋮ MORTALITY FORECASTING WITH A SPATIALLY PENALIZED SMOOTHED VAR MODEL ⋮ Delta-hedging longevity risk under the M7-M5 model: the impact of cohort effect uncertainty and population basis risk ⋮ Addressing the life expectancy gap in pension policy ⋮ A combined analysis of hedge effectiveness and capital efficiency in longevity hedging ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ A DSA Algorithm for Mortality Forecasting ⋮ MODELLING SOCIO-ECONOMIC DIFFERENCES IN MORTALITY USING A NEW AFFLUENCE INDEX ⋮ On the optimal hedge ratio in index-based longevity risk hedging ⋮ Modelling and forecasting mortality improvement rates with random effects ⋮ Clustering-based simultaneous forecasting of life expectancy time series through Long-Short Term Memory Neural Networks ⋮ Trends in Canadian Mortality by Pension Level: Evidence from the CPP and QPP ⋮ Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers ⋮ Coherent modeling of mortality patterns for age-specific subgroups ⋮ The dependency premium based on a multifactor model for dependent mortality data ⋮ Dispersion modelling of mortality for both sexes with Tweedie distributions ⋮ THE SAINT MODEL: A DECADE LATER ⋮ CALIBRATING THE LEE-CARTER AND THE POISSON LEE-CARTER MODELS VIA NEURAL NETWORKS

Cites Work

• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• Modelling longevity bonds: analysing the Swiss Re Kortis bond
• A step-by-step guide to building two-population stochastic mortality models
• A common age effect model for the mortality of multiple populations
• Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds: a practical approach
• Robustness and convergence in the Lee-Carter model with cohort effects
• Stochastic portfolio specific mortality and the quantification of mortality basis risk
• On age-period-cohort parametric mortality rate projections
• On stochastic mortality modeling
• A geostatistical approach for dynamic life tables: the effect of mortality on remaining lifetime and annuities
• Bayesian Poisson log-bilinear models for mortality projections with multiple populations
• On simulation-based approaches to risk measurement in mortality with specific reference to Poisson Lee-carter modelling
• Pricing and securitization of multi-country longevity risk with mortality dependence
• Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data
• A cohort-based extension to the Lee-Carter model for mortality reduction factors
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Coherent mortality forecasting with generalized linear models: a modified time-transformation approach
• Extending the Lee–Carter model: a three-way decomposition
• Longevity hedge effectiveness: a decomposition
• Modelling Adult Mortality in Small Populations: The Saint Model
• Modelling and management of mortality risk: a review
• A Gravity Model of Mortality Rates for Two Related Populations
• Measuring Basis Risk in Longevity Hedges
• Cohort extensions of the Poisson common factor model for modelling both genders jointly
• Smoothing and forecasting mortality rates
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States
• Bootstrapping the Poisson log-bilinear model for mortality forecasting
• Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II
• On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England

This page was built for publication: A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES