Yijing Ye

affiliation not provided to SSRN

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Scholarly Papers (1)

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Longevity Hedging 101: A Framework for Longevity Basis Risk Analysis and Hedge Effectiveness

North American Actuarial Journal, Volume 15, Number 2, 2011
Number of pages: 38 Posted: 10 Jul 2020
Pacific Global Advisors, J.P. Morgan, affiliation not provided to SSRN, Indian Institute of Management (IIM), Kozhikode, Heriot-Watt University - Department of Actuarial Science & Statistics, City, University of London and City University London - Sir John Cass Business School
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Abstract:

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Longevity hedging, longevity index, longevity basis risk, stochastic mortality, two populations, hedge effectiveness