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We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customized hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value...
Persistent link: https://www.econbiz.de/10013118084
This study sets out a framework to evaluate the goodness of fit of stochastic mortality models and applies it to six different models estimated using English & Welsh male mortality data. The methodology exploits the structure of each model to obtain various residual series that are predicted to...
Persistent link: https://www.econbiz.de/10013160247
This study sets out a backtesting framework applicable to the multi-period-ahead forecasts from stochastic mortality models and uses it to evaluate the forecasting performance of six different stochastic mortality models applied to English & Welsh male mortality data. The models considered are:...
Persistent link: https://www.econbiz.de/10013160251
We use a case study of a pension plan wishing to hedge the longevity risk in its pension liabilities at a future date. The plan has the choice of using either a customised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between the value...
Persistent link: https://www.econbiz.de/10012832832
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