management tool and to quantify its effectiveness in hedging against changes in mortality with respect to default risk measures …Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can substantially … liabilities. Systematic mortality risk is considered in two ways. First, systematic mortality risk is modeled using scenario …

longevity outcomes. This is a significant issue for those wishing to hedge longevity risk using a published mortality index … cashflows, of the hedged portfolio will differ from those under the hedging instrument.In addition, longevity basis risk can …Longevity basis risk arises because different populations, or subpopulations, will inevitably experience different …

This paper provides a simple model for basis risk in a longevity framework, by separating common and idiosyncratic risk … factors. Basis risk is captured by a single parameter, that measures the co-movement between the portfolio and the reference … population. In this framework, the paper sets out the static, swap-based hedge for an annuity, and compares it with the dynamic …

Index-based hedging solutions are used to transfer the longevity risk to the capital markets. However, mismatches … 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 …