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Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference

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  • David Blake
  • Marco Morales
  • Jing Ai
  • Patrick L. Brockett
  • Linda L. Golden
  • Wei Zhu

Abstract

We study the dynamics of longevity risk across a subset of countries in the Asia‐Pacific (APAC) region. We use hand‐collected and existing data on age‐specific mortality rates from emerging and developed economies to understand how secular changes in mortality vary within and across APAC countries. We use our results to identify cross‐hedging opportunities among longevity risk exposures in the APAC region. We also introduce k‐forward contracts, which offer natural risk‐sharing opportunities to hedgers in different countries. We consider the example of Korea and Japan as a case study.
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Suggested Citation

  • David Blake & Marco Morales & Jing Ai & Patrick L. Brockett & Linda L. Golden & Wei Zhu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 319-343, April.
    • Handle: RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:319-343
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