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

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

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@article{6e3ced79015e4cd3a6d20f71a3ea4915,

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",

issn = "1092-0277",

publisher = "Taylor \& Francis",

number = "2",

}

TY - JOUR

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

PY - 2011/9

Y1 - 2011/9

M3 - Article

SN - 1092-0277

VL - 15

SP - 150

EP - 176

JO - North American Actuarial Journal

JF - North American Actuarial Journal

IS - 2

ER -