Zhou, Rui; Li, Johnny Siu-Hang; Tan, Ken Seng - In: The Geneva Papers on Risk and Insurance - Issues and … 36 (2011) 4, pp. 544-566
Standardised mortality-linked securities are easier to analyse and more conducive to the development of liquidity. However, when a pension plan relies on standardised instruments to hedge its longevity risk exposure, it is inevitably subject to various forms of basis risk. In this paper, we use...