Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness

Guy D. Coughlan, Marwa Khalaf-Allah, Yijing Ye, Sumit Kumar, Andrew John George Cairns, D Blake, K Dowd

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	150-176
Journal	North American Actuarial Journal
Volume	15
Issue number	2
Publication status	Published - Sept 2011

Access to Document

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title = "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness",

author = "Coughlan, {Guy D.} and Marwa Khalaf-Allah and Yijing Ye and Sumit Kumar and Cairns, {Andrew John George} and D Blake and K Dowd",

year = "2011",

month = sep,

language = "English",

volume = "15",

pages = "150--176",

journal = "North American Actuarial Journal",

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T1 - Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness

AU - Coughlan, Guy D.

AU - Khalaf-Allah, Marwa

AU - Ye, Yijing

AU - Kumar, Sumit

AU - Cairns, Andrew John George

AU - Blake, D

AU - Dowd, K

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EP - 176

JO - North American Actuarial Journal

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