Measuring Basis Risk in Longevity Hedges

By Johnny Siu-Hang Li, Mary R. Hardy. 2011

241 citations recorded by the source corpus.

Subfields: Demography, General Health Professions, Health

View Paper: https://www.semanticscholar.org/paper/3d570b4724f2579c5c034ed542714416e385f350

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Mary R. Hardy
2. Johnny Siu-Hang Li
3. Rui Zhou
4. Andrew J. G. Cairns
5. Ken Seng Tan
6. Elena Vigna
7. Kevin Dowd
8. David P. Blake

In General Health Professions

1. Mary R. Hardy
2. Johnny Siu-Hang Li
3. Rui Zhou
4. Andrew J. G. Cairns
5. Ken Seng Tan
6. Kevin Dowd
7. David P. Blake
8. Elena Vigna

In Health

1. Andrew J. G. Cairns
2. Rui Zhou
3. Johnny Siu-Hang Li
4. Mary R. Hardy

Citations in the corpus

• A step-by-step guide to building two-population stochastic mortality models (2015, methodology): “The two extensions were subsequently used by Li and Hardy (2011) to quantify the population basis risk in an index-based q-forward longevity hedge.”
• Modelling and management of longevity risk: Approximations to survivor functions and dynamic hedging (2011, methodology): “While this is a significant consideration, it has been demonstrated elsewhere (Cairns et al., 2011b, Li and Hardy, 2011) that, at least over medium and longer-term horizons, hedge effectiveness is still high even using static hedging.”
• Multi-population mortality models: A factor copula approach (2015, unknown): “Hua Chen, Richard MacMinn and Tao Sun Literature Two-population mortality model Li and Lee (2005): augmented common factor model Li and Hardy (2011): cointegrated Lee-Carter model Dowd et al. (2011): gravity model (see also Jarnerand Kryger 2011) Carins et al. (2011): framework for…”
• The New Life Market (2013, unknown): “56 See also Li and Lee (2005), Jarner and Kryger (2011), and Li and Hardy (2011).”
• Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II (2014, background): “Li and Hardy (2011) considered four possible ways to generalize a single-population mortality model to one that fits two or more populations.”
• Pricing Standardized Mortality Securitizations: A Two‐Population Model with Transitory Jump Effects (2013, unknown): “The use of a Lee-Carter structure for two-population mortality modeling has been considered in Carter and Lee (1992), Li and Hardy (2011), Li and Lee (2005) and the original version of Cairns et al. (2011a).”