大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

To Develop a Method of Assessing Basis Risk for Longevity Transactions

Jackie Li (Macquarie University)

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4. To Develop a Method of Assessing Basis Risk for Longevity Transactions

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第77回 (理学研究科確率論セミナー主催)

To Develop a Method of Assessing Basis Risk for Longevity Transactions

Jackie Li (Macquarie University)

Increasing life expectancy poses a significant challenge to insurers, pension plan sponsors, and governments. It is of utmost importance to find a theoretically sound and also practically feasible approach to manage longevity risk. In particular , the use of population-based mortality indices has great potential to deal with this risk, but the problem of the existence of basis risk (i.e. mismatching between the reference population and the portfolio to be hedged) remains unsolved. This research work is to develop a methodology for measuring longevity basis risk (using statistical and time series models) and assessing hedging effectiveness (using risk measures such as Value-at-Risk, expected shortfall, spectral risk measures, distortion risk measures) in index-based longevity hedges under practical situations. This project is funded by the Institute and Faculty of Actuaries (IFoA) and Life and Longevity Markets Association (LLMA) in UK and involves collaboration between Macquarie University (Australia), University of Waterloo (Canada), Australian National University, and Mercer Australia.