The cross-section of Asia-Pacific mortality dynamics: Implications for longevity risk sharing
File(s)
Accepted version
Author(s)
Biffis, E
Lin, Y
Milidonis, A
Type
Journal Article
Abstract
We study the dynamics of longevity risk across a subset of cou
ntries in the Asia-Pacific (APAC)
region. We use hand-collected and existing data on age-spec
ific 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
ntries in the Asia-Pacific (APAC)
region. We use hand-collected and existing data on age-spec
ific 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
Date Issued
2017-01-10
Date Acceptance
2016-10-09
Citation
Journal of Risk and Insurance, 2017, 84, pp.515-532
ISSN
1539-6975
Publisher
Wiley
Start Page
515
End Page
532
Journal / Book Title
Journal of Risk and Insurance
Volume
84
Copyright Statement
© 2016 The American Risk and Insurance Association
Subjects
Social Sciences
Business, Finance
Economics
Business & Economics
FACTOR MODELS
NUMBER
Finance
1502 Banking, Finance And Investment
Publication Status
Published