Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis From Technical and Economic Perspectives
研究了使用标准化指数证券进行动态长寿对冲的可行性，发现人口基差风险可分散，并提出结合指数对冲与定制盈余互换可能比定制风险转移更经济有效。
Abstract In this article, we study the feasibility of dynamic longevity hedging with standardized securities that are linked to broad‐based mortality indexes. On the technical front, we generalize the dynamic “delta” hedging strategy developed by Cairns (2011) to incorporate the situation when population basis risk exists. On the economic front, we discuss the potential financial benefits of an index‐based hedge over a bespoke risk transfer. By considering data from a large group of national populations, we find evidence supporting the diversifiability of population basis risk. We further propose a customized surplus swap—executed between a hedger and reinsurer—to utilize the diversifiability. As standardized instruments demand less illiquidity premium, a combination of a dynamic index‐based hedge and the proposed customized surplus swap may possibly be a more economical (and equally effective) alternative to a bespoke risk transfer.