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

Biffis Enrico; Lin Yijia; Milidonis Andreas

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

机译：亚太地区死亡率动态的横断面：对长寿风险分担的启示

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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.

机译：我们研究了亚太地区（APAC）部分国家/地区中长寿风险的动态。我们使用来自新兴经济体和发达经济体的手工收集的和有关特定年龄死亡率的现有数据，来了解亚太地区国家之间以及整个亚太国家之间死亡率的长期变化是如何变化的。我们使用我们的结果来确定亚太地区长寿风险敞口中的对冲机会。我们还引入了k-forward合同，该合同为不同国家的套期保值者提供了自然的风险分担机会。我们以韩国和日本为例进行研究。

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《The journal of risk and insurance》 |2017年第s1期|515-532|共18页
作者
Biffis Enrico; Lin Yijia; Milidonis Andreas;
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Georgia State Univ, J Mack Robinson Coll Business, Risk Management Insurance Dept, 35 Broad St, Atlanta, GA 30303 USA|Imperial Coll London, Imperial Coll Business Sch, Dept Finance, South Kensington Campus, London SW7 2AZ, England;

Univ Nebraska, Dept Finance, Lincoln, NE 68588 USA;

Univ Cyprus, Sch Econ & Management, Dept Accounting & Finance, POB 20537, CY-1678 Nicosia, Cyprus|Nanyang Technol Univ, Nanyang Business Sch, IRFRC, Singapore, Singapore;

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

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