The 2018 International Congress of Actuaries (ICA) event, which took place in June in Berlin, saw Professor Andrew Cairns, director of the Actuarial Research Centre (ARC), awarded a Best Paper prize, along with his co-author Ghali El Boukfaoui.
The underpinning research is part of the ARC research programme Modelling, Measurement and Management of Longevity and Morbidity Risk.
The paper, Basis Risk in Index Based Longevity Hedges: A Guide for Longevity Hedgers, aims to help stakeholders in the longevity market develop a common language for internal model building and documentation. A further key element of the paper is the quantification of how much regulatory capital relief might be granted if an index-based longevity hedge is put in place, and how this depends on the payoff structure and maturity of the hedge.
Please visit bit.ly/arc2165 to view this paper (in the outputs section) and other outputs related to this ARC research programme.