Towards a Large and Liquid Longevity Market: A Graphical Population Basis Risk Metric

Author:

Chan Wai-Sum,Li Johnny S-H,Zhou Kenneth Q,Zhou Rui

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference22 articles.

1. Blake, D., Cairns, A., Coughlan, G., Dowd, K. and MacMinn, R. (2013) ‘The new life market’, The Journal of Risk and Insurance 80 (3): 501–557.

2. Blake, D., Dowd, K. and Cairns, A.J.G. (2008) ‘Longevity risk and the Grim Reaper’s toxic tail: The survivor fan charts’, Insurance: Mathematics and Economics 42 (3): 1062–1066.

3. Cairns, A.J.G., Dowd, K., Blake, D. and Coughlan, G.D. (2014) ‘Longevity hedge effectiveness: A decomposition’, Quantitative Finance 14 (2): 217–235.

4. Chan, W.S., Li, J.S.-H. and Li, J. (2014) ‘The CBD mortality indexes: Modeling and applications’, North American Actuarial Journal 18 (1): 38–58.

5. Continuous Mortality Investigation Bureau (2009) A prototype mortality projections model: Part two—detailed analysis, CMI working paper 39.

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