Chong It Tan

Macquarie University

E4A, Eastern Rd

Macquarie University

Sydney, New South Wales 2113

Australia

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

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Scholarly Papers (1)

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Assessing Basis Risk for Longevity Transactions

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 143 Posted: 28 Nov 2017
Jackie Ka Ki Li, Leonie Tickle and Chong It Tan
Nanyang Business School, Nanyang Technological University, Macquarie University and Macquarie University
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Abstract:

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longevity risk, longevity basis risk, index-based hedging, longevity swap, hedge effectiveness