The toll for Charon's boat in the face of longevity risk: An examination of Basis risk in Longevity bonds.

Tsikkouris, Antonis (2007) The toll for Charon's boat in the face of longevity risk: An examination of Basis risk in Longevity bonds. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

This paper will address the increasingly important topic of Longevity Risk. By providing an overview of the literature concerning the explanations behind the increasing human lifespan, as well as its implications on the public and private sectors, the paper outlines the solutions proposed to deal with Longevity Risk, where the focus shifts on the Capital Market Solution. Particular emphasis is given on Basis Risk and its effect on hedging instruments like Longevity Bonds. It is argued that the presence of Basis Risk is both inevitable and can prove financially significant for individual occupational pension schemes with varying scheme-specific risk profiles.

Item Type: Dissertation (University of Nottingham only)
Keywords: longevity risk, basis risk, longevity bonds
Depositing User: EP, Services
Date Deposited: 10 Mar 2008
Last Modified: 22 Oct 2016 01:26
URI: http://eprints.nottingham.ac.uk/id/eprint/21137

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