Macquarie University, supported by University of Waterloo, Australian National University and Mercer Australia, will present their work on a methodology for assessing the basis risk arising from the use of population level mortality indices for managing the longevity risk in pension benefits or annuitant liabilities.
Macquarie University, supported by University of Waterloo, Australian National University and Mercer Australia, will present their work on a methodology for assessing the basis risk arising from the use of population level mortality indices for managing the longevity risk in pension benefits or annuitant liabilities.
This research is intended to enable practitioners to better assess the benefits that might be available from the use of simpler, more standardised and easier to execute index-based longevity solutions, as well as the extent of the basis risk that might be introduced by the use of population mortality data to determine mortality improvement assumptions.
The work is part-funded by the IFoA and the Life & Longevity Markets Association (LLMA) and is being overseen by the Longevity Basis Risk Working Group. The full results will be presented at an IFoA sessional meeting at Staple Inn Hall, London, on 4 December 2017.
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