D’Amato, Valeria; Coppola, Mariarosaria; Levantesi, … - In: The Journal of Risk Finance 18 (2017) 1, pp. 55-75
the risk through longevity-linked securities. Nevertheless, the difference between the reference population of the hedging … instrument and the population of members of a pension plan, or the beneficiaries of an annuity portfolio, determines a … propose a model that measures the population basis risk involved in a longevity hedge, in the functional data model setting …