Leonie Tickle

Macquarie University

North Ryde

Sydney, New South Wales 2109

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

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Scholarly Papers (1)

1.

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 Technological University (NTU) - Nanyang Business School, Macquarie University and Macquarie University
Downloads 39 (425,772)

Abstract:

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