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The Cross‐Section of Asia‐Pacific Mortality Dynamics: Implications for Longevity Risk Sharing

Author

Listed:
  • Enrico Biffis
  • Yijia Lin
  • Andreas Milidonis

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.

Suggested Citation

  • Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "The Cross‐Section of Asia‐Pacific Mortality Dynamics: Implications for Longevity Risk Sharing," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
    • Handle: RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:515-532
    DOI: 10.1111/jori.12194
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    References listed on IDEAS

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