Cairns, Andrew J.G.; Dowd, Kevin; Blake, David; … - In: Quantitative Finance 14 (2014) 2, pp. 217-235
We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value...