Özen, Selin; Şahin, Şule - In: Risks 9 (2021) 2, pp. 1-19
between the liability of the hedger and the hedging instrument cause longevity basis risk. Therefore, an appropriate two …-population model to measure and assess longevity basis risk is required. In this paper, we aim to construct a two-population mortality … model to provide an effective hedge against the basis risk. The reference population is modelled by using the Lee …