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Creating and Trading Building Block Mortality Derivatives To Transfer and Receive Mortality Risk In A Liquid Market
Creating and Trading Building Block Mortality Derivatives To Transfer and Receive Mortality Risk In A Liquid Market
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机译:在流动市场中创建和交易基石死亡率衍生工具以转移和接收死亡率风险
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摘要
The invention comprises A comprises a system and method for hedging or mitigating mortality exposure risk in a portfolio of mortality-dependent instruments. A mortality risk or longevity risk of the portfolio is calculated or otherwise determined. Then the sensitivity of the portfolio to mortality risk or longevity risk is calculated or otherwise determined, in other words, how much is cost or value of the portfolio affected by a change in mortality rate. To account for that mortality exposure, a selection is made of building block mortality derivatives that include age-based mortality derivatives. The selected plurality of selected plurality of building block mortality derivatives are used to create a hedge against the mortality risk or longevity risk of the portfolio.
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