Chang, Yang; Sherris, Michael - In: Risks : open access journal 6 (2018) 1, pp. 1-20
basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort … this index. Firstly, the underlying variables of most existing longevity indices are based on mortality experience only … dependencies between ages and cohorts with a cohort-based stochastic mortality model. We achieve this by introducing age …
