Constructing Out-of-the-Money Longevity Hedges Using Parametric Mortality Indexes

REFERENCES

• Bauer, D., M. Börger, and J. Ruß. 2010. On the pricing of longevity-linked securities. Insurance: Mathematics and Economics 46 (1): 139–49.
   Web of Science ®Google Scholar
• Bauer, D., M. Börger, J. Ruß, and H. J. Zwiesler. 2008. The volatility of mortality. Asia-Pacific Journal of Risk and Insurance 3 (1). doi:10.2202/2153-3792.1035.
   Google Scholar
• Biffis, E., Y. Lin, and A. Milidonis. 2017. The cross-section of Asia-Pacific mortality dynamics: Implications for longevity risk sharing. Journal of Risk and Insurance 84 (Suppl. 1): 515–32.
   Google Scholar
• Biffis, E., and D. Blake. 2010. Securitizing and tranching longevity exposures. Insurance: Mathematics and Economics 46 (2010): 186–97.
   Google Scholar
• Blake, D., A. J. Cairns, and K. Dowd. 2006. Living with mortality: Longevity bonds and other mortality-linked securities. British Actuarial Journal 12 (1): 153–97.
   Google Scholar
• Boyer, M. M., and L. Stentoft. 2013. If we can simulate it, we can insure it: An application to longevity risk management. Insurance: Mathematics and Economics 52 (1): 35–45.
   Web of Science ®Google Scholar
• Cairns, A. J. 2011. Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging. Insurance: Mathematics and Economics 49 (3): 438–53.
   Web of Science ®Google Scholar
• Cairns, A. J. 2013. Robust hedging of longevity risk. Journal of Risk and Insurance 80 (3): 621–48.
   Web of Science ®Google Scholar
• Cairns, A. J., D. Blake, and K. Dowd. 2006a. Pricing death: Frameworks for the valuation and securitization of mortality risk. ASTIN Bulletin 36 (1): 79–120.
   Web of Science ®Google Scholar
• Cairns, A. J., D. Blake, and K. Dowd. 2006b. A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. Journal of Risk and Insurance 73 (4): 687–718.
   Web of Science ®Google Scholar
• Cairns, A. J., D. Blake, and K. Dowd. 2008. Modelling and management of mortality risk: A review. Scandinavian Actuarial Journal 2008 (2–3): 79–113.
   Web of Science ®Google Scholar
• Cairns, A. J. G., and G. El Boukfaoui. 2017. Basis risk in index based longevity hedges: A guide for longevity hedgers. Working paper, Edinburgh, Scotland: Heriot-Watt University.
   Google Scholar
• Chan, W. S., J. S.-H. Li, and J. Li. 2014. The CBD mortality indexes: Modeling and applications. North American Actuarial Journal 18 (1): 38–58.
   Google Scholar
• Dahl, M. 2004. Stochastic mortality in life insurance: Market reserves and mortality-linked insurance contracts. Insurance: Mathematics and Economics 35 (1): 113–36.
   Web of Science ®Google Scholar
• Dowd, K., A. J. Cairns, D. Blake, G. D. Coughlan, D. Epstein, and M. Khalaf-Allah. 2010. Backtesting stochastic mortality models: An ex post evaluation of multiperiod-ahead density forecasts. North American Actuarial Journal 14 (3): 281–98.
   Google Scholar
• Hao, X., C. Liang, and L. Wei. 2017. Evaluation of credit value adjustment in K-forward. Insurance: Mathematics and Economics 76: 95–103.
   Web of Science ®Google Scholar
• Hunt, A., and D. Blake. 2015. Forward mortality rates in discrete time I: Calibration and securities pricing. Pensions Institute Discussion Paper PI-1511. London: Pensions Institute, Cass Business School.
   Google Scholar
• Li, J., L. Tickle, C. I. Tan, and J. S.-H. Li. 2017. Assessing basis risk for longevity transactions—Phase 2. Research report, London: the Institute and Faculty of Actuaries and the Life and Longevity Markets Association.
   Google Scholar
• Li, J. S.-H. 2010. Pricing longevity risk with the parametric bootstrap: A maximum entropy approach. Insurance: Mathematics and Economics 47 (2): 176–86.
   Web of Science ®Google Scholar
• Li, J. S.-H., and A. C. Y. Ng. 2011. Canonical valuation of mortality-linked securities. Journal of Risk and Insurance 78 (4): 853–84.
   Web of Science ®Google Scholar
• Li, N., and R. Lee. 2005. Coherent mortality forecasts for a group of populations: An extension of the Lee-Carter method. Demography 42 (3): 575–94.
   PubMed Web of Science ®Google Scholar
• Liu, Y., and J. S.-H. Li. 2017. The locally linear Cairns-Blake-Dowd model: A note on delta–nuga dedging of longevity risk. ASTIN Bulletin 47 (1): 79–151.
   Web of Science ®Google Scholar
• Michaelson, A., and J. Mulholland. 2014. Strategy for increasing the global capacity for longevity risk transfer: Developing transactions that attract capital markets investors. The Journal of Alternative Investments 17 (1): 18–27.
   Google Scholar
• Tan, C. I., J. Li, J. S.-H. Li, and U. Balasooriya. 2014. Parametric mortality indexes: From index construction to hedging strategies. Insurance: Mathematics and Economics 59: 285–99.
   Web of Science ®Google Scholar
• Tiao, G. C., and G. E. P. Box. 1981. Modelling multiple time series with applications. Journal of the American Statistical Association 76: 802–16.
   Web of Science ®Google Scholar
• Wang, C. W., and S. S. Yang. 2013. Pricing survivor derivatives with cohort mortality dependence under the Lee-Carter framework. Journal of Risk and Insurance 80 (4): 1027–56.
   Web of Science ®Google Scholar
• Wei, L. 2017. On bilateral counterparty credit risk in longevity-linked security. M.Sc. thesis, University of Manitoba.
   Google Scholar
• Zhou, K. Q., and Li, J. S. H. (2019). Delta-hedging longevity risk under the M7-M5 model: The impact of cohort effect uncertainty and population basis risk. Insurance: Mathematics and Economics, 84 (2019): 1–21.
   Google Scholar
• Zhou, K. Q., and J. S.-H. Li. 2017b. Dynamic longevity hedging in the presence of population basis risk: A feasibility analysis from technical and economic perspectives. Journal Risk and Insurance 84: 417–37.
   Web of Science ®Google Scholar