Longevity Risk Management and the Development of a Value-Based Longevity Index

The design and development of post-retirement income products require the assessment of longevity risk, as well as a basis for hedging these risks. Most indices for longevity risk are age-period based. We develop and assess a cohort-based value index for life insurers and pension funds to manage lon...

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Bibliographic Details

Published in:	Risks
Main Authors:	Yang Chang, Michael Sherris
Format:	Article
Language:	English
Published:	MDPI AG 2018-02-01
Subjects:	retirement income risk cohort mortality value index mortality risk interest rate risk hedge efficiency
Online Access:	http://www.mdpi.com/2227-9091/6/1/10