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首页> 外文期刊>Astin bulletin >A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES
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A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES

机译：长寿树篱基础风险评估的两种人口模型的比较研究

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摘要

Longevity swaps have been one of the major success stories of pension scheme de-risking in recent years. However, with some few exceptions, all of the transactions to date have been bespoke longevity swaps based upon the mortality experience of a portfolio of named lives. In order for this market to start to meet its true potential, solutions will ultimately be needed that provide protection for all types of members, are cost effective for large and smaller schemes, are tradable, and enable access to the wider capital markets. Index-based solutions have the potential to meet this need; however, concerns remain with these solutions. In particular, the basis risk emerging from the potential mismatch between the underlying forces of mortality for the index reference portfolio and the pension fund/annuity book being hedged is the principal issue that has, to date, prevented many schemes progressing their consideration of index-based solutions. Two-population stochastic mortality models offer an alternative to overcome this obstacle as they allow market participants to compare and project the mortality experience for the reference and target populations and thus assess the amount of demographic basis risk involved in an index-based longevity hedge. In this paper, we systematically assess the suitability of several multi-population stochastic mortality models for assessing basis risks and provide guidelines on how to use these models in practical situations paying particular attention to the data requirements for the appropriate calibration and forecasting of such models.
机译：长寿掉期一直是近年来退休金计划降低风险的主要成功案例之一。但是，除少数例外，迄今为止，所有交易都是根据有名生命组合的死亡率经验定制的长寿掉期。为了使这个市场开始发挥其真正的潜力，最终将需要一种解决方案，为所有类型的成员提供保护，对于大型和小型计划具有成本效益，可以交易，并能够进入更广阔的资本市场。基于索引的解决方案有可能满足这一需求；但是，这些解决方案仍然令人担忧。特别是，由于指数参考投资组合的潜在死亡率与被对冲的养老基金/年金账簿之间潜在的潜在失配而产生的基本风险是迄今为止一直困扰着许多计划阻止其对指数进行考虑的主要问题。基于解决方案。两人口随机死亡率模型提供了一种克服此障碍的替代方法，因为它们允许市场参与者比较和预测参考人群和目标人群的死亡率经验，从而评估基于指数的寿命对冲所涉及的人口统计学风险量。在本文中，我们系统地评估了几种多种群随机死亡率模型用于评估基本风险的适用性，并提供了在实际情况下如何使用这些模型的指南，并特别注意对此类模型进行适当校准和预测的数据要求。

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