Balasooriya, Uditha; Li, Johnny Siu-Hang; Li, Jackie - In: Risks : open access journal 8 (2020) 3/80, pp. 1-25
We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged. We apply the bivariate Lee-Carter model, the common factor...
