Pricing basis risk in survivor swaps

This paper looks at basis risk in survivor swaps, which occurs when mortality of the reference population used to price the swap differs from the mortality of the population being hedged. The author finds that any basis risk present is usually small compared to the risk premium that any party hedging mortality should be willing to pay -->

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here