create and issue longevity bonds that attempt to hedge overall economy-wide mortality risk to improve insurance companies … (because the bond will be a form of a collateralized debt obligation), and hence a natural issuer, with low credit risk. Since … this bond) and also how governments can ensure that they have sufficient funds to bear this risk. It concludes with the …

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 … uncertainty of model selection into the modeling of longevity basis risk. The hedging results under this approach may …

Life insurers are exposed to catastrophic mortality risk. Catastrophic mortality bonds are a recent market innovation …-level general population mortality in their construction. By constructing a typical mortality risk portfolio and calibrating a bond … that provide an alternative risk management tool to address this risk. However there is little in the way of published …

In recent multi-population stochastic mortality models, one critical scientific issue is the vague distinction between … trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent … uncorrelated. This permits us to disentangle trend risk and population basis risk, thereby sparing us from the need to use a …

This paper provides a simple model for basis risk in a longevity framework, by separating common and idiosyncratic risk … factors. Basis risk is captured by a single parameter, that measures the co-movement between the portfolio and the reference … rate risk …