Pricing basis risk in survivor swaps

Technical papers

This paper looks at basis risk in survivor swaps, instruments where a fixed payment is made by one party at some point in the future in exchange for a payment based on the longevity of a reference population at the same point in the future. Cox and Lin (2005) discuss the potential hedging of mortality and longevity risk by life assurance companies and pension schemes. They note that since changes in mortality experience have opposite effects on pensions and assurance business, these two parties

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