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 journalArticle

Original languageEnglish
Pages (from-to)150-176
JournalNorth American Actuarial Journal
Volume15
Issue number2
Publication statusPublished - Sep 2011

Cite this

Coughlan, G. D., Khalaf-Allah, M., Ye, Y., Kumar, S., Cairns, A. J. G., Blake, D., & Dowd, K. (2011). Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness. North American Actuarial Journal, 15(2), 150-176.