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

18 Pages Posted: 14 Apr 2017

See all articles by Enrico Biffis

Enrico Biffis

Imperial College Business School

Yijia Lin

University of Nebraska at Lincoln

Andreas Milidonis

University of Cyprus - Department of Accounting and Finance

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Date Written: April 2017

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 age‐specific 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. We also introduce k‐forward contracts, which offer natural risk‐sharing opportunities to hedgers in different countries. We consider the example of Korea and Japan as a case study.

Suggested Citation

Biffis, Enrico and Lin, Yijia and Milidonis, Andreas, The Cross‐Section of Asia‐Pacific Mortality Dynamics: Implications for Longevity Risk Sharing (April 2017). Journal of Risk and Insurance, Vol. 84, Issue S1, pp. 515-532, 2017, Available at SSRN: https://ssrn.com/abstract=2952789 or http://dx.doi.org/10.1111/jori.12194

Enrico Biffis (Contact Author)

Imperial College Business School ( email )

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

Yijia Lin

University of Nebraska at Lincoln ( email )

Lincoln, NE 68588
United States

Andreas Milidonis

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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