Pricing and hedging of longevity basis risk through securitisation
Year of publication: |
2024
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Authors: | Zeddouk, Fadoua ; Devolder, Pierre |
Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 54.2024, 1, p. 159-184
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Subject: | basis risk | cost of capital | Longevity basis risk | longevity-linked securities | multi-population mortality model | solvency capital requirement | Sterblichkeit | Mortality | Hedging | Risikomodell | Risk model | Risikomanagement | Risk management | Risiko | Risk | Verbriefung | Securitization | Kapitalkosten | Cost of capital | Lebensversicherung | Life insurance | Derivat | Derivative | EU-Versicherungsrecht | European insurance law |
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