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North American Actuarial Journal Volume 25, 2021 - Issue sup1: Longevity Risk and Capital Markets - Longevity 12 and Longevity 13
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Longevity 12 Articles

Basis Risk in Index-Based Longevity Hedges: A Guide for Longevity Hedgers

Andrew J. G. Cairns1 Maxwell Institute for Mathematical Sciences, Edinburgh, Scotland, United Kingdom;2 Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, Scotland, United KingdomCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-9732-4850View further author information
ORCID Icon &
Ghali El Boukfaoui3 Financial Institutions Group, Societe Generale Corporate and Investment Bank, New York, New YorkView further author information
Pages S97-S118 | Published online: 17 Dec 2019

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