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Parametric mortality indexes: From index construction to hedging strategies

Tan, Chong It; Li, Jackie; Li, Johnny Siu-Hang; Balasooriya, Uditha

Description

In this paper, we investigate the construction of mortality indexes using the time-varying parameters in common stochastic mortality models. We first study how existing models can be adapted to satisfy the new-data-invariant property, a property that is required to ensure the resulting mortality indexes are tractable by market participants. Among the collection of adapted models, we find that the adapted Model M7 (the Cairns–Blake–Dowd model with cohort and quadratic age effects) is the...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
URI: http://hdl.handle.net/1885/103929
Source: Insurance; Mathematics and Economics
DOI: 10.1016/j.insmatheco.2014.10.005 0167-6687

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