Assessing basis risk for index-based longevity swap transactions


Jackie Li (Macquarie University)
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大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第88回
Assessing basis risk for index-based longevity swap transactions

Jackie Li (Macquarie University)

The key feature of index-based longevity swaps is that their cash flows are linked to a selected reference or index population, rather than being tailored to the population underlying the pension plan being hedged. Accordingly, there is a potential mismatch, in terms of demographic differences. Moreover, a small pension plan usually has high sampling variability, which makes it more likely to deviate from the index population. The payoff structures would also be different between the swaps and the pension plan. All these discrepancies are referred to as longevity basis risk, which is under intense research at the moment. From the hedger's perspective, the presence of longevity basis risk means that an index-based hedge will not be perfect and there will be residual longevity risk. To address this problem, the Institute and Faculty of Actuaries (IFoA) and the Life and Longevity Markets Association (LLMA) in the UK have jointly sponsored a research project on assessing basis risk for longevity transactions. Phase 1 of the project was completed by Cass Business School and Hymans Robertson LLP in December 2014, in which a decision tree framework was developed as a practical guide on how to select a two-population mortality model. Phase 2 of the project, focusing on measuring longevity basis risk in realistic scenarios under practical circumstances, have also been completed by Macquarie University, Australia recently, and the final report has been released in November 2017. This presentation will provide the key results of the Phase 2 report.

講 師:
Jackie Li (Macquarie University)
テーマ:
Assessing basis risk for index-based longevity swap transactions
日 時:
2017年12月13日(水)16:20-17:50
場 所:
大阪大学豊中キャンパス基礎工学研究科I棟204号室
参加費:
無料
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