City Research Online

Longevity Basis Risk A methodology for assessing basis risk

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


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: Bayes Business School > Actuarial Science & Insurance
[thumbnail of ifoa-llma-longevity-basis-risk-report.pdf]
Text - Published Version
Download (4MB) | Preview


Add to AnyAdd to TwitterAdd to FacebookAdd to LinkedinAdd to PinterestAdd to Email


Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login