Longevity basis risk

A framework for assessing longevity basis risk

1 December 2014

I am delighted that the research has delivered a framework for assessing longevity basis risk. This recognises the fact that different users, with different portfolios, will have different constraints on the models they can use in practice. The research has identified specific models and techniques for different situations, which we believe will provide a good starting point for assessing basis risk.
Pretty Sagoo, Chair of the LLMA and IFoA Joint Longevity Basis Risk Working Group

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