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The Cross-Section of Asia-Pacific Mortality Dynamics: Implications for Longevity Risk Sharing

31 Pages Posted: 2 Apr 2016 Last revised: 10 Oct 2016

Enrico Biffis

Imperial College Business School

Yijia Lin

University of Nebraska at Lincoln - Department of Finance

Andreas Milidonis

University of Cyprus - Department of Accounting and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: October 9, 2016

Abstract

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

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

Enrico Biffis

Imperial College Business School ( email )

Imperial College London
South Kensington campus
London, SW7 2AZ
United Kingdom

Yijia Lin

University of Nebraska at Lincoln - Department of Finance ( email )

Lincoln, NE 68588-0490
United States

Andreas Milidonis (Contact Author)

University of Cyprus - Department of Accounting and Finance ( email )

P.O. Box 20537
Nicosia CY-1678
Cyprus
+357 22 893 626 (Phone)

HOME PAGE: http://www.ucy.ac.cy/~amilidon/

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