31 Pages Posted: 2 Apr 2016 Last revised: 10 Oct 2016
Date Written: October 9, 2016
We study the dynamics of longevity risk across a subset of countries in the Asia-Pacific (APAC) region. We use hand-collected and existing data on mortality rates from emerging and developed economies, to understand how secular changes in mortality vary within and across APAC countries. We use our results to identify cross-hedging opportunities among longevity risk exposures in the APAC region, and introduce k-forward contracts, hedging instruments offering natural risk sharing opportunities to hedgers in different countries. We consider the example of Korea and Japan as a case study.
Keywords: k-forward, longevity risk, risk sharing, emerging economies, Asia-Pacific
JEL Classification: G22, G23, H55, I12, F39
Suggested Citation: Suggested Citation
Biffis, Enrico and Lin, Yijia and Milidonis, Andreas, The Cross-Section of Asia-Pacific Mortality Dynamics: Implications for Longevity Risk Sharing (October 9, 2016). Available at SSRN: https://ssrn.com/abstract=2757364 or http://dx.doi.org/10.2139/ssrn.2757364