Parametric mortality indexes: From index construction to hedging strategies

Parametric mortality indexes: From index construction to hedging strategies

In this paper, we investigate the construction of mortality indexes using the time-varying parametersin common stochastic mortality models. We first study how existing models can be adapted to satisfy the new-data-invariant property, a property that is required to ensure the resulting mortality inde...

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Bibliographic Details
Main Authors: Tan, C.I., Li, Ka Ki Jackie, Li, J.S., Balasooriya, U.
Format: Journal Article
Published: Elsevier BV 2014
Subjects:
Cairns–Blake–Dowd model
Hedging strategies
Longevity risk reduction
Securitization
Mortality indexes
Online Access:http://hdl.handle.net/20.500.11937/18922

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