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Longevity Basis Risk A methodology for assessing basis risk

Millossovich, P., Haberman, S., Kaishev, V. K., Baxter, S., Gaches, A., Gunnlaugsson, S. and Sison, M. (2014). Longevity Basis Risk A methodology for assessing basis risk. Institute and Faculty of Actuaries (IFA) , Life and Longevity Markets Association (LLMA).

Abstract

This technical report details the methodology developed on behalf of the LBRWG to assess longevity basis risk. A user-guide which provides a high level summary of this report has also been produced. Together these documents form the key outputs of the first phase of a longevity basis risk project
commissioned and funded by the IFoA and the LLMA, and undertaken on our behalf by Cass Business School and Hymans Robertson LLP.

Publication Type: Report
Additional Information: © 2014 The Institute and Faculty of Actuaries and the Life and Longevity Markets Association. Material may be reproduced free of charge in any format or medium, providing it is: Not modified in any way; Not used out of context; Acknowledged as the IFoA’s or its relevant subsidiary’s copyright and the source is quoted; Used solely for your personal reference or non-commercial internal reference within your company or organisation.
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Departments: Cass Business School > Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/16835
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